Principal Credit Risk Analyst
This is a strategic analytical/modeling role within Discover’s Card Credit Risk Management function responsible for developing and managing vintage level loss forecasts used in P&L evaluation for new accounts. Specific responsibilities include designing and developing loss forecasting models, identifying appropriate assumptions, conducting stress testing and monitoring model performance. This also necessitates identification, design and implementation of complex statistical and business analysis in support of business strategy as well as loss forecasting activities.
The successful candidate will have strong ability to translate business objectives into analytical and model framework considering optimal risk and revenue trade-offs. The position offers a challenging environment for the right candidate to apply experience and knowledge in a creative manner while also providing a unique opportunity to influence management and impact business decision in a significant way. He/she will work in a cross-functional environment with internal business partners such as Finance, Marketing, Legal/Compliance, Model Risk Management as well as teams within Card Credit Risk Management.
RESPONSIBILITIES
· Design, develop and test new accounts loss forecasting models leveraging customer-level information and macroeconomic variables; optimize risk segments used in loss forecast while considering the business segments
· Develop vintage loss forecasts on a semi-annual basis and provide inputs to finance for P&L estimation
· Conduct stress simulation of loss forecasts and advise cross functional teams on its implications on P&L and ultimately help make critical business decision
· Analyze macroeconomic trends impacting loss performance and identify appropriate assumptions in loss forecasts
· Develop and improve an account level decision framework to support business strategies working closely with a broad range of business partners
· Identify and explore new approaches and data sources to support improvements to existing models and process
· Enhance the existing KRI framework and develop early warning indicators to improve response time to cycle turns
· Drive value-based principles into the day-to-day credit risk activities to maximize profit for the business overall.
· Provide risk leadership in respect of new card product or feature developments.
EDUCATION & EXPERIENCE
· Master’s degree in statistics, mathematics, economics, computer science, industrial engineering or related quantitative fields required; PhD preferred
· 3+ years of analytical and loss forecast or credit risk modeling experience in the financial services industry
OTHER COMPETENCIES
· A comprehensive understanding of statistical modeling and analytical tools and techniques; experience with machine learning algorithms preferred
· Proficiency in SAS and SQL; working experience with other programming languages such as R and Python preferred
· Strong thought leadership with proven problem solving and decision making skills
· Excellent communication, presentation and interpersonal skills
· Ability to work under own initiative in a high-profile and deadline driven environment while maintaining focus on key business drivers; strong project management skills