Credit Risk Model Development Quantitative Analyst II - Consumer Portfolio (Hybrid - see job description for potential work locations)

Wilmington Trust is seeking a Credit Risk Model Development Quantitative Analyst II for their Consumer Portfolio. The role involves developing and analyzing quantitative behavioral models for credit risk, interest rate risk, and liquidity risk management, while providing support and guidance to less experienced personnel.ResponsibilitiesAssist in researching and developing quantitative behavioral models used for credit risk, interest rate risk and liquidity risk management, as well as balance sheet and capital planning, including but not limited to, loan delinquency, default and loss models, loan prepayment and utilization models, deposit attrition models and financial instrument valuation methodsPrepare, manage and analyze large customer loan, deposit and/or financial data sets for statistical analysis in Structured Query Language (SQL) or similar tool to properly specify and estimate econometric models to understand customer or Bank behavior for purposes of credit, interest rate, liquidity or stressed capital risk managementUnderstand the context of the Bank’s data and businesses to ensure properly developed modelsRun regressions (including time series and logistic regression), programming routines and other econometric analyses to specify models using appropriate statistical software; communicate results, including graphic and tabular forms, to fellow team members, Treasury management and Bank-wide stakeholders, including the business lines and Risk Management colleagues to demonstrate key risk drivers and dynamics of model outputExecute models in production environment; communicate analytical results to Bank-wide stakeholdersTrack portfolio performance, model performance, campaign tracking and risk strategy resultsIncorporate observations and data into existing models to improve predictive resultsIdentify deviations from forecast/expectations and explain variancesIdentify risk and/or opportunitiesDevelop and maintain satisfactory model documentation, including process narratives and performance monitoring guidelines to serve as reference sourceProvide financial analysis and data support to other groups/departments across the Bank as requiredSupport engagements with colleagues in Model Risk Management for model validation exercisesProvide guidance and direction to less experienced personnel regarding all aspects of data and financial analysis and development and management of predictive statistical modelsConduct business in compliance with regulatory guidance including SR (Supervision and Regulation Letters) 10-1, SR 10-6, SR 11-7, Enhanced Prudential Standards, etcAdhere to applicable compliance/operational/model risk controls and other second line of defense and regulatory standards, policies and proceduresUnderstand and adhere to the Company’s risk and regulatory standards, policies and controls in accordance with the Company’s Risk AppetiteIdentify risk-related issues needing escalation to managementPromote an environment that supports belonging and reflects the M&T Bank brandMaintain M&T internal control standards, including timely implementation of internal and external audit points together with any issues raised by external regulators as applicableComplete other related duties as assignedSkillsBachelor's degree and a minimum of 1 years' proven quantitative behavioral modeling experience, or in lieu of a degree, a combined minimum of 5 years' higher education and/or work experience, including a minimum of 1 years' proven quantitative behavior modeling experienceMinimum of 1 years' on-the-job experience with pertinent statistical software packages (SAS, Python, Stata, R)Strong Python skills requiredModel development experience required, including familiarity with logistic regression and linear regressionMinimum of 1 years' on-the-job experience with data management environment, such as SQL Server Management StudioMinimum of 1 years' experience in managing and analyzing large data sets and explaining results of analysis through concise written and verbal communication as well as charts/graphsMasters' of Science or Doctorate degree in Statistics, Economics, Finance or related field in the quantitative social, physical, or engineering sciences, with proven coursework proficiency in statistics, econometrics, economics, computer science, finance or risk managementMinimum of 2 years' statistical analysis programming experienceCredit model development experience; Consumer portfolio model development experience highly preferredOne (1) or more years of on-the-job Python programming experienceFluency and high proficiency in econometric/statistical techniques, especially time-series analysis, panel data methods and logistic regressionExperience in balance sheet management and mathematical modeling of financial instruments offered by banksKnowledge and familiarity with key aspects of model risk management and model validation, including SR-11-7 guidance on model risk managementProven track record for being able to work autonomously and within a team environmentDemonstrated leadership skillsStrong desire to learn and contribute to a groupCompany OverviewWilmington Trust is a financial institution that has wealth advisory for institutions and corporations. It was founded in 1903, and is headquartered in Wilmington, Delaware, USA, with a workforce of 1001-5000 employees. Its website is https://www.wilmingtontrust.com.



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