Credit Analytics Quantitative Model Developer

If you are a current FIB employee, please apply through the Career Worklet in the Employee Portal .

This position can be located at any of First Interstate Bank's offices in Arizona, Idaho, Iowa, Kansas, Minnesota, Missouri, Montana, Nebraska, North Dakota, Oregon, South Dakota, and Wyoming.

What’s Important to You

We know your career is just one aspect of a meaningful, complex, and demanding life. That’s why we designed our compensation and benefits package to provide employees and their families with as much choice as possible.

• Generous Paid Time Off (PTO) in addition to paid federal holidays.
• Student debt employer repayment program.
• 401(k) retirement plan with a 6% match.
• The health and happiness of the places we call home matter to us. Learn a little more about what we do for the communities we serve, and why we want YOU to be a part of it.

We encourage you to apply. Reach for what you want and tell us why your work ethic and willingness to learn make you a natural fit for #TeamFirstInterstate.

SUMMARY

The Bank seeks an experienced Quantitative Model Developer, proficient in SQL and R, to join the Portfolio Strategy & Analytics team within Finance.

The ideal candidate will have experience in advanced statistical modeling, ideally with a variety of credit portfolios, and will be responsible for both the development and operation of credit risk models including Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD) and Expected Credit Loss (ECL).

The various models and methodologies will support a range of risk management applications including, but not limited to, stress testing, capital planning, the Allowance for Loan and Lease Losses (both for the existing ALLL and in alignment with the pending Current Expected Credit Loss standard, or CECL) and portfolio valuations.

The Modeler will be considered an expert resource in credit risk modeling, working closely with team members and other stakeholders such as business units and risk management, external auditors and regulatory agencies.

ESSENTIAL DUTIES & RESPONSIBILITIES include the following : other duties may be assigned.

The individual is expected to provide 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.

Specific duties include the following :

• Manage large and complex credit data sets using statistical tools and database technologies.
• Work independently to design, build and maintain internal and external statistical models to quantify the value of credit risk parameters.
• Conduct macroeconomic forecasting, perform credit risk forecasting, and incorporate macroeconomic variables in credit risk models.
• Perform model calibration, back-testing, sensitivity testing, and stress testing of statistical models.
• Present results to various groups of stakeholders, including senior management.
• Deliver high quality documentation and presentations to support and maintain model and library use.
• Work with the data governance team to document business requirements, and with information technology to ensure methodologies are accurately implemented in production systems.
• Complete ad hoc projects as required.

QUALIFICATIONS

To perform this job successfully, an individual must be able to perform each essential duty satisfactorily. The requirements listed below are representative of the knowledge, skill, and / or ability required.

Reasonable accommodations may be made to enable individuals with disabilities to perform the essential functions.

EDUCATION and / or EXPERIENCE

Advanced degree in statistics, mathematics, physics, economics or other quantitative field and a minimum of four to five years of experience in statistical and econometric modeling, including at least two in a financial institution / commercial bank environment, or Bachelor's degree in a quantitative field, and five to eight years of experience in statistical modeling within commercial banks or financial institutions.

OTHER SKILLS & REQUIREMENTS

• Good 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 R preferred.
• Working knowledge of PD / LGD and rating approaches, as well as key industry default and loss data from rating agencies and other vendors preferred.
• 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) preferred.
• Be 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.

LANGUAGE SKILLS

Ability to understand scientific / technical journals, financial reports and legal documents. Ability to respond to common inquiries of complaints of customers, regulatory agencies or members of the business community.

Ability to write speeches and articles for publication that conform to prescribed style and format. Ability to effectively present information to top management, public groups, and / or boards of directors.

MATHEMATICAL SKILLS

A working knowledge of statistics and a background in at least two of the following subject matter : real and complex analysis, topology, differential equations, mathematical physics, convex optimization and measure theory.

Must be willing to develop skill sets and to conduct research in macroeconomics to improve economic forecasting capabilities and risk mitigation.

Must have the ability to formulate mathematical and statistical models from first principles. Experience constructing econometric models by applying macroeconomic principals.

REASONING ABILITY

Ability to approach problems mathematically and to reason from first principles.

PHYSICAL DEMANDS

While performing the duties of this job, the employee is regularly required to walk and talk or hear. The employee frequently is required to stand and sit.

The employee is occasionally required to use hands to finger, handle, or feel; reach with hands and arms; and stoop, kneel, crouch, or crawl.

The employee must frequently lift and / or move up to 50 pounds. Specific vision abilities required by this job include close vision.

WORK ENVIRONMENT

The work environment characteristics described here are representative of those an employee encounters while performing the essential functions of this job.

Reasonable accommodations may be made to enable individuals with disabilities to perform the essential functions.

The noise level in the work environment is usually moderate.

If you are a current FIB employee, please apply through the Career Worklet in the Employee Portal .