Credit Model Developer [Must have credit risk model (PD, LGD, EAD, ALLL)] - New York, NY/On-Site
STI · New York, NY · 5 mo ago
EngineeringFull-time
Key Responsibilities
- Develop, enhance, and implement credit risk models (PD, LGD, EAD, ALLL) using Python and PySpark.
- Work closely with quantitative teams to design, test, and validate model frameworks.
- Perform statistical analysis, model calibration, and performance monitoring.
- Collaborate with business and risk teams to translate regulatory and business requirements into model specifications.
- Prepare documentation and support internal/external model reviews.
Required Skills & Qualifications
- Strong programming skills: Python and PySpark (hands-on experience required).
- Quantitative / Statistical background – degree in Statistics, Mathematics, Engineering, Financial Engineering, or related field.
- Proven experience in credit risk model development (PD, LGD, EAD, ALLL).
- Experience working on rating models within financial or banking domains.
Nice to Have
- Experience with regulatory model frameworks and governance processes.
- Familiarity with large-scale data environments and distributed computing.