Senior Data Scientist, Credit Risk (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

Build the models banks use to set aside reserves and plan capital. You will develop the expected-credit-loss and stress-testing models behind our CECL calculator and DFAST products, to the standard examiners expect under SR 11-7.

What you'll do

• 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

What you'll bring

• 5+ years of credit risk modeling in banking, fintech or consulting
• Strong Python or R and statistical modeling skills
• Hands-on experience with CECL, IFRS 9 or CCAR/DFAST

Compensation

$190,000 – $220,000 per year.