Job Description
Senior Quantitative Developer role involves managing credit risk through quantitative techniques, developing predictive models, and providing specialist advice to business lines.
US Bank Europe provides end-to-end payment processing solutions and services to over one million merchants worldwide. The company has a branch network across Europe, is licensed by the Central Bank of Ireland, and has its European headquarters in Dublin.
As a Senior Quantitative Developer, you will be responsible for:
- 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 expected credit loss (IFRS9) provision model and credit loss forecasting.
- Support and challenge the Pillar ii capital Credit Risk model.
- Support 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 US Bank Europe's 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 and 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.
We offer an exciting, fast-paced and diverse working environment with employees of many different nationalities. We provide benefits to help you protect your health and financial security; and give you peace of mind. We also invest in your career growth with development resources that give you the opportunity to stretch and shine.