Senior Credit Risk Data Scientist - CECL & Stress Testing

Moraph LLC; Chicago (IL); On-site; USD 190,000 - 220,000; Full time

Job summary

Moraph LLC in Chicago is seeking a senior credit risk modeler to develop CECL/IFRS9 expected-credit-loss and stress-testing models, and to support validation and governance reviews. You will design scenario frameworks for capital planning and document model behavior for risk committees.

Ideal candidates have 5+ years in credit risk modeling, hands-on CECL/IFRS9/CCAR-DFAST experience, and strong Python or R skills with a solid statistical modeling background.

Qualifications

• 5+ years of credit risk modeling in banking, fintech or consulting.
• Hands-on experience with CECL, IFRS 9 or CCAR/DFAST.

Responsibilities

• Develop and maintain CECL / IFRS 9 expected-credit-loss and stress-testing models.
• Design scenario frameworks and sensitivity analysis for capital planning.
• Write model documentation and support validation and champion/challenger reviews.
• Work with product and client teams to explain model behavior to risk committees.

Skills

Credit risk modeling

Statistical modeling

Python or R

Education

0

Tools

Python

R

Job description

Moraph LLC in Chicago is seeking a senior credit risk modeler to develop CECL/IFRS9 expected-credit-loss and stress-testing models, and to support validation and governance reviews. You will design scenario frameworks for capital planning and document model behavior for risk committees.

Ideal candidates have 5+ years in credit risk modeling, hands-on CECL/IFRS9/CCAR-DFAST experience, and strong Python or R skills with a solid statistical modeling background.