US Bank Senior Quantitative Developer Category Corporate 

Ireland, Dublin 

318963760

Team Description:

Part of the Risk & Compliance function, the Credit Risk team drives a proactive approach to credit risk management and promotes a strong risk and asset quality management culture. The team is a 2nd line of defence function and is charged with managing credit risk and overseeing the end-to-end credit processes in EFS DAC. Primary responsibilities of the team are:

• Developing credit policy and standards for Elavon’s credit activities.
• Monitoring and oversight of credit quality and composition across the European credit portfolios.
• Estimation of credit losses for forecasting, provisioning, stress testing and capital purposes.
• Provision of credit risk management expertise regarding portfolio composition, reporting, expectations, and regulatory requirements.
• Review and approval of Elavon’s largest corporate customers.
• Engaging directly with regulators on credit risk matters.

Role Description:

The Senior Quantitative Developer will support the management of credit risk through quantitative techniques. The role holder will report to the Senior Quantitative Development Manager, developing, maintaining and monitoring credit risk models pertaining to credit exposure estimation, credit provisions, loss forecasting, and capital estimates related to Credit Risk. The successful candidate will have an important role within the Credit Risk team and will be responsible for the following:

• Engaging in top-down management of credit risks and working closely with lines of business to obtain portfolio insights.
• Developing predictive models using quantitative techniques to forecast the credit risk on the portfolio.
• Own the developer title of the Pillar ii capital Credit Risk model.
• Support and challenge the expected credit loss (IFRS9) provision methodology.
• Support and challenge the Contingent Liability measurement methodology under IAS 37.
• Performing model enhancements and monitoring of model performance together with relevant documentation.
• Liaising with internal model management teams regarding model governance requirements.
• Aligning applied methodologies with regulatory requirements as necessary.
• Periodically stress testing the credit portfolio and providing outputs to EFS’ Stress Testing programme.
• Providing specialist advice and oversight to business line initiatives related to quantitative and process optimization tasks.
• Collaboration with Finance teams and other lines of business as required to align quantitative design with business model.
• Liaising with audit teams on credit modelling.

Required Skills & Experience:

• 8+ years’ experience working in a related role (financial risk, risk modelling, impairment modelling, etc.)
• A bachelor's degree in Mathematics/Statistics/Economics/Computer Science/Engineering etc.
• Relevant experience performing data analysis and data modelling.
• Proficient in SAS/SQL/Python/R programming (any mix of these with and willing to learn Python).
• A determined problem solver with a strong analytical skillset and good report writing capabilities.
• An advanced level of presentation and relationship building skills.
• Experience in the payments industry is a distinct advantage.
• Familiarity with IFRS 9, EBA’s Capital Requirements Regulation and banking regulation in general would be a benefit.
• Proven self-starter and team player with strong communication skills.

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