1+ months

Analytics Manager (Multiple Positions)

New York, NY 10176


Position Title:


Analytics Manager (Multiple Positions)





Responsibilities:


Analytics Manager (Multiple Positions) (Accenture LLP; New York, NY): Implement User Acceptance Testing (UAT) on Lifetime Expected Credit Loss models under the International Financial Reporting Standard (IFRS-9) for Banking Retail and Wholesale products. Develop and test Probability of Default term structure models for Credit produce portfolios using the macro factors. Conduct detailed testing of the candidate models (OLS, Logistic Regressions) of Credit product portfolios based on the Out of Sample/Time Testing, back testing, and standard diagnostic tests. Perform as is assessment of client data, and current PD term structure models concluded with the use of Moodys Credit Edge data to create industry sensitivity of our Banking Clients Wholesale product portfolios. Estimate the industry Point in Time (PIT) Expected Default Frequency (EDF) to Commercial & Industrial PIT EDF ration against macroeconomic time series variables. Analyze the standardization of the long-run Through the Cycle (TTC) PD to adjust the same standardized ration of the IFRS-9 PD term structure. Implement the model development and testing codes in SAS Management Implementation Platform (MIP) and test the codes for monthly data inputs and model performance outputs in production.




BASIC QUALIFICATIONS:


Must have a Bachelors degree in Computer Science, Analytics, Economics, Mathematics or Financial Engineering, or a related field, plus 4 years of experience in the Finance and/or Consulting industry.





ADDITIONAL QUALIFICATIONS:


Of the required experience, 2 years of experience must be in each of the following:


Credit, market, liquidity, and/or operational risk analytics, including at least one of the following: model development, strategy and framework, scorecard development, model documentation, model validation, model governance, model implementation, or integration and automation;


Retail, commercial, and/or capital markets portfolios, including at least one of the following: commercial lending, asset-based lending treasury services, or investment banking;


Risk regulatory trends, principles, and practices, including at least one of the following: back testing, stress testing, sensitivity testing, benchmarking, capital calculations, or reporting standards;


SAS, MatLab, Python, and/or R;


Experience in at least one of the following: multivariate regression models, transition matrices, stochastic processes, econometric models, neural networks, Monte Carlo, or Random Forest; and


Credit and/or market risk type models, including at least one of the following: CVA, ALLL, CECL, PD/LGD, Roll Rate, VAR, SVAR, or PFE.





Must have willingness and ability to travel domestically approximately 80% of the time to meet client needs.





To apply, please click the APPLY button.





Accenture is an EEO and Affirmative Action Employer of Females/Minorities/Veterans/Individuals with Disabilities.





Equal Employment Opportunity


All employment decisions shall be made without regard to age, race, creed, color, religion, sex, national origin, ancestry, disability status, veteran status, sexual orientation, gender identity or expression, genetic information, marital status, citizenship status or any other basis as protected by federal, state, or local law. Job candidates will not be obligated to disclose sealed or expunged records of conviction or arrest as part of the hiring process. Accenture is committed to providing veteran employment opportunities to our service men and women. Candidates who are currently employed by a client of Accenture or an affiliated Accenture business may not be eligible for consideration.







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Posted: 2019-09-09 Expires: 2020-01-08

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Analytics Manager (Multiple Positions)

Accenture
New York, NY 10176

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