First Interstate · 22 hours ago
Quantitative Model Developer
Sioux Falls, SD
Full-time
Onsite
Mid, Senior Level
4+ years expFirst Interstate BancSystem is a financial institution seeking a Credit Analytics Quantitative Model Developer. This role involves developing and operating credit risk models and providing quantitative support to manage credit risk in various portfolios, ensuring compliance with regulations.
BankingCredit CardsFinancial ServicesWealth Management
Responsibilities
Provides quantitative support to the Bank’s efforts to manage credit risk in portfolios covering a range of asset classes, and ensure that the PD, LGD, valuation, and ECL models comply with all applicable regulations. For existing or third-party models, core competency involves understanding the purpose of the models, how they work, how they are used, how well they perform, and what effective challenges are to the current models
Manages large and complex credit data sets using statistical tools and database technologies
Designs, builds, and maintains internal and external statistical models to quantify the value of credit risk parameters independently
Conducts macroeconomic forecasting, performs credit risk forecasting, and incorporates macroeconomic variables in credit risk models
Performs model calibration, back-testing, sensitivity testing, and stress testing of statistical models
Presents results to various groups of stakeholders, including senior management
Delivers high quality documentation and presentations to support and maintain model and library use
Works with the data governance team to document business requirements, and with information technology to ensure methodologies are accurately implemented in production systems
Completes ad hoc projects as required
Qualification
Required
Business knowledge and familiarity with commercial/small business/retail banking products, operations, and processes
Solid working knowledge of at least two programming languages: Excel VBA, SQL, Oracle SQL, R, Python, SAS, C++. SQL and Python preferred
Working knowledge of PD/LGD and rating approaches, as well as key industry default and loss data from rating agencies and other vendors
Ability to communicate technical information in writing. Publication in refereed journals is a plus
Familiarity with model risk management best practices and regulatory guidance (OCC 2011/12 SR11-7)
Willing to develop new skill sets such as portfolio theory, macroeconomics (e.g., neoclassical), and extreme value theory
Time management skills to prioritize multiple tasks in a fast-paced and evolving environment
Bachelor's Degree in a quantitative field required
4-6 years experience in statistical modeling within commercial banks and/or financial institutions required
Preferred
Master's Degree in Statistics, Mathematics, Physics, Economics or related field preferred
Benefits
Generous Paid Time Off (PTO) in addition to paid federal holidays.
Student debt employer repayment program.
401(k) retirement plan with a 6% match.
Company
First Interstate
At First Interstate, we meet people where they are—helping them get to where they want to be.
1001-5000 employees
Funding
Current Stage
Late StageLeadership Team
Kevin Riley
President and Chief Executive Officer
BRITTNEY BAUER
REAL ESTATE LOAN PROCESSOR/CLOSER
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