DescriptionWe seek a qualifying professional in the position of Principal Data Scientist in the Model Risk and Model Validation team. The position of Principal Data Scientist will be designing and validating mathematical models used by the bank and conducting mathematical analysis of the data in the Market Risk and Counterparty Credit Risk division. Analyzing and building sector / industry risk assessment mathematical methodologies and quantitative measurement techniques for assessment of the credit risk exposures and evaluation of the structured products. Primary responsibilities include:
Will be supporting the development of the building blocks of mathematical model used for evaluation of the Economic and Capital Markets including mathematical models used for calculations of risk neutral pricing, counterparty credit risk measures, correlations, concentrations, rating migrations and risk contributions.
Developing and validating Macroeconomic quantitative models that explain the fundamental credit metrics, such as defaults, charge offs, loss severity, prepayment and new balance growth.
Engage Finance, Treasury and Business in the use of Economic Capital mathematical model for performance measurement, risk adjusted return calculations and pricing.
Designing numerical simulations models used for valuation of the credit risk, as well as building mathematical approaches to be applied to calculate prices of wholesale exposures, retail exposures and structured assets.
Analyzing and building sector / industry risk assessment mathematical methodologies and quantitative measurement techniques for assessment of the credit risk exposures and evaluation of the structured products.
Qualification:
10+ years of experience in mathematical modeling and data analysis experience in a commercial bank or a major financial institution
Experience translating quantitative research into usable, value-added mathematical tools and data.
Knowledge of option valuation, portfolio theory, stochastic processes and time series analysis.
Strong knowledge of the mathematical theory and practice, and expertise in application of this knowledge to financial industry.
Strong mathematical skills and knowledge of the Basel rules and regulations, understanding of compliance and implications of Basel, FDIC, Federal Reserve regulatory frameworks.
Ability to effectively utilize statistical software and extensive understanding of relational databases.
Comprehensive knowledge in design and validation of mathematical models used for pricing and evaluation of trading, market and counterparty credit risks.
Education:
Requires degree in quantitative discipline, e.g. Mathematics or Statistics, and 10+ years of experience in mathematical modeling and data analysis experience in a commercial bank or a major financial institution.
Hours & Work Schedule:
Hours per Week: 40 hrs
Work Schedule: Monday-Friday
The salary range for this position is $150,000.00 - $175,000.00 Actual pay is based on various factors including but not limited to the work location, and relevant skills and experience. We offer competitive pay, comprehensive medical, dental and vision coverage, retirement benefits, maternity/paternity leave, flexible work arrangements, education reimbursement, wellness programs and more. Note, Citizens’ paid time off policy exceeds the mandatory, paid sick or paid time-away policy of very local and state jurisdiction in the United States. For an overview of our benefits, visit https://jobs.citizensbank.com/benefits.Some job boards have started using jobseeker-reported data to estimate salary ranges for roles. If you apply and qualify for this role, a recruiter will discuss accurate pay guidance.Equal Employment OpportunityAt Citizens, we are committed to fostering an inclusive culture that enables colleagues to bring their best selves to work every day. Employment decisions are based solely on experience, performance, and ability. Citizens, its parent, subsidiaries, and related companies (Citizens) provide equal employment and advancement opportunities to all colleagues and applicants for employment without regard to age, ancestry, color, citizenship, physical or mental disability, perceived disability or history or record of a disability, ethnicity, gender, gender identity or expression (including transgender individuals who are transitioning, have transitioned, or are perceived to be transitioning to the gender with which they identify), genetic information, genetic characteristic, marital or domestic partner status, victim of domestic violence, family status/parenthood, medical condition, military or veteran status, national origin, pregnancy/childbirth/lactation, colleague’s or a dependent’s reproductive health decision making, race, religion, sex, sexual orientation, or any other category protected by federal, state and/or local laws.Equal Employment and Opportunity EmployerCitizens is a brand name of Citizens Bank, N.A. and each of its respective affiliates.Why Work for UsAt Citizens, you'll find a customer-centric culture built around helping our customers and giving back to our local communities. When you join our team, you are part of a supportive and collaborative workforce, with access to training and tools to accelerate your potential and maximize your career growthBackground CheckAny offer of employment is conditioned upon the candidate successfully passing a background check, which may include initial credit, motor vehicle record, public record, prior employment verification, and criminal background checks. Results of the background check are individually reviewed based upon legal requirements imposed by our regulators and with consideration of the nature and gravity of the background history and the job offered. Any offer of employment will include further information.11/21/2024