Quantitative Portfolio Analyst

City National Corporation • Los Angeles, CA 90009

Posted 2 weeks ago

Job Description

The Quantitative Portfolio Analyst will support the development and implementation of quantitative models related to credit risk and stress testing in the commercial C&I and CRE portfolios. This position will develop and maintain the internal PD and LGD databases and will integrate external data relevant to the Bank's loan portfolio. Working with IT and Credit Administration this position will be responsible for improving data quality for regulatory and modeling purposes and will develop dual credit ratings models for obligors and facilities In addition, this position will conduct PD migration analyses and back testing of credit risk models and will participate in creating models to stress test credit portfolios.

These models will inform and support decisions for Credit, Finance, and Treasury related to Economic Capital, allowance for loan losses and stress testing. This position will assist in the quantification and analysis of credit risk using data driven statistical methodology, interpreting findings, identifying solutions to optimize risk/return equation and developing presentations to senior management.

Responsibilities

Database Management

* Maintain PD rating history for the commercial portfolio and ensuring its accuracy

* Maintain and update internal LGD databases, help with internal data validation

* Work with the IT group to improve data quality for regulatory and modeling purposes

* Develop databases for future EAD modeling across various Commercial portfolios

* Design and maintain databases of obligor and facility specific attributes

* Automate multiple data extractions and manipulations

Quantitative Risk Modeling

* Develop and maintain Dual Rating System (PD, LGD, EAD)

* Develop credit stress testing models

* Support portfolio models such as Credit Manager and PPR Compass

* Perform migration analyses, building transition matrices

* Develop and implement stress scenarios for use in the economic capital and ALLL methodologies

General Risk Management Improvements

* Keep abreast of industry best practice standards for credit risk measurement and stress testing

* Assist in benchmarking risk capital (economic and regulatory) to other institutions

* Assist in developing and maintaining loan pricing models

* Support ad-hoc Line of business requests for quantitative modeling

Basic Qualifications

* *Bachelor's degree or minimum 5 years equivalent experience in a risk quantitative position required.

* *Knowledge of standard modeling techniques (cross sectional and time series)

* *Minimum 1 year technical experience obtaining information from disparate sources, including production and ad hoc systems, linking and analyzing the information, performing data integrity checks and exploratory data analysis required.

* *Minimum 1 year experience with SAS, R, Stata or other modeling software required

* Advanced degree in statistics/finance/economics or other quantitative field

* Experience in statistical/econometric modeling and database management

* Database experience, SQL. VBA experience highly desired

* Experience in developing/validating risk rating models, evaluating financial ratios, and using default prediction tools for commercial portfolios

* Modeling in R, Stata, SAS, Eviews or Statistic

* aStrong background or practical experience in statistical or econometric modeling, model validation, Basel II requirements, economic capital and stress testing methodologies

* Experience in macroeconomic forecasting, credit risk forecasting and incorporating macroeconomic variables in credit risk models

* Ability to build strong relationships with peers, line of business managers and colleagues across the Bank

* To be considered for this position you must at least meet the basic qualifications.

City National Bank is an Equal Opportunity Employer -- Minorities/Females/Individuals with Disabilities/Veterans.

Note: This preceding job description has been designed to indicate the general nature and level of work performed by employees within this classification. It is not designed to contain or be interpreted as a comprehensive inventory of all duties, responsibilities, and qualifications required of employees assigned to this job.

Note: Candidates should be advised that City National Bank does not pay interviewee travel expenses or relocation expenses for candidates who are hired unless previously agreed.

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