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Position Summary
This position will be leading efforts to monitor the Bank’s existing third-party default probability models.
Essential Duties and Responsibilities
- Documentation, monitoring, back testing, benchmarking, and sensitivity analysis of Moody’s models (RiskCalc and CMM) in accordance with FRB SR 11-07.
- Ensures all departmental documents and activities are performed in compliance with applicable laws, regulations, policies and procedures as applicable to this position, including completion of required compliance training.
- Resolution of any internal/external audit findings.
- Root cause analysis for any model anomalies, inconsistencies, or unexpected results.
- Potentially develop internal default probability models for loan verticals that are not captured by existing models.
- Assist in regulatory exams and internal audit reviews related to credit risk modeling.
- Prepares and maintains model documentation and version control for internal and regulatory stakeholders.
- Performs other duties and responsibilities as assigned.
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.
Skills
- Proficient in reviewing and interpreting model documentation and research materials with a strong focus on quantitative and statistical analysis.
- Ability to read and interpret regulatory guidance and internal procedure documentation.
- Ability to write routine reports, procedures and business correspondence.
- Ability to respond in writing to audit findings customer complaints, regulatory agencies or member of the business community.
- Ability to translate complex quantitative concepts into actionable and meaningful business insights.
- Ability to effectively present information in one-on-one and small group situations, to customers, top management, public groups and/or boards of directors
Education and/or Experience
- MS/MA degree; post graduate education in econometrics, quantitative finance, applied mathematics, statistics, or related field is preferred.
- 8+ years’ experience in loan portfolio/credit risk modeling, preferably at a financial institution.
- Experience using Moody’s suite of credit risk models.
Computer Skills
- MS Office programs.
- Proficiency in Python or R with knowledge of model development and statistical analysis
- SQL coding.
Other
Please note this job description is not designed to cover or contain a comprehensive listing of activities, duties or responsibilities that are required of the employee for this job. Activities, duties and responsibilities may change at any time with or without notice.
Skills Training:
- Communication, Critical Thinking, Judgment and Decision Making, Leadership, Management
Equal Employment Opportunity Information: Simmons First National Corporation and its subsidiaries are committed to a policy of equal employment with respect to a person's race, color, religion, sex, ancestry, sexual orientation, gender identity, national origin, covered veterans, military status, physical or mental disability or any other legally protected classifications.