A top American Investment bank is in search of a skilled model developer to construct and validate climate risk models. This role would allow you to take a significant role in the structure/development of Climate Risk models to be used in credit assessment and Stress-Testing. The bank is looking for someone to develop models/assess the impacts of climate change on the institution and its portfolios, with a focus on portfolio credit losses and the integration of business/net-zero strategy. This role would sit between the first and second lines of defense, requiring you to collaborate between the lines as needed for the application of climate models.
This role will require you to construct Climate Model Framework and communicate key aspects to stakeholders, management, and auditors/regulators. This role would give you the ability to take part in the model development process from start to finish, allowing you to take charge in determining the model structure through its implementation and review. You'd be a major contributor to model development, data analysis, validation, implementation, and model testing for Climate Risk models.
The institution is looking for a candidate that has 6-10 years of experience in model development or academia, has excellent communication skills, proficiency in object-oriented programming languages (Python, R, C++). A masters or PhD degree in a quantitative field is preferred.
Responsibilities:
- Development of Climate Risk Models to be used in credit assessment/Stress-Testing
- Contribute to model development, data analysis, validation, implementation and model testing
- Translate regulatory generated climate scenarios into impacts that can be implemented in current framework of models
- Work in tandem with 1LOD and 2LOD for application of climate models to their needs and framework
Requirements:
- 6-10 years experience model development or academia
- Masters or PhD
- Proficiency in Object-Oriented programming language (Python, R, C++)
- Excellent communication skills
- Knowledge and understanding of model development and validation techniques covering Risk models
- Deep understanding of Climate Change