Quantitative Analyst Consultant - CECL Conversion
MountainView Financial Solutions, a wholly-owned Situs company, seeks a Quantitative Analyst with experience modelling cash flows and risks associated with debt products to assist our client with a 6-month project to convert stress test credit loss models to meet the FASB ASU 2016-13 (aka “CECL”) accounting standards. Implementation of the CECL standards fundamentally changes the way U.S. banks, including our client, calculate and hold allowance for loan losses (aka “ALLL”).
In this project, you will sit on-site in the San Francisco office of our client, a national bank offering a complete line of banking products to businesses and individuals. You will leverage your excellent programming skills in R and T-SQL to measure and explain changes in the allowance under the CECL framework (i.e, which proportion of the change was due to loan data changes, economic scenario changes, prepayment behavior changes, addition of new loans, additional draws on existing lines of credit).
You will work closely with our client’s Finance, Accounting, Credit, SOX and Technology teams, but will not be responsible for building predictive models.
- Propose and develop a data monitoring program and change management process for Risk Data Mart, Moody’s Data Buffet, and Current Expected Credit Loss models – all of these components are sources of allowance changes
- Measure, monitor, attribute, and explain allowance changes for each month by portfolio
- Standardize model inputs and outputs across all the CECL models and automate reports of allowance results and attribution of the month-over-month changes
- Develop a process for model integration with a technology platform
- Develop a process for model execution
- Integrate and implement CECL models into a production system that will run on a scheduled basis
- PhD or MS degree in a quantitative field (e.g., statistics, computer science, analytics, operations research)
- 3-5 years of programming experience in R and T-SQL
- 3-5 years of professional experience collaborating with multiple teams at a company
- Familiarity with linear and logistic regression methods
- Ideally experience with consumer, residential mortgage and commercial mortgage related loans and securities, consumer deposits or mortgage servicing rights
ABOUT MOUNTAINVIEW FINANCIAL SOLUTIONS
MountainView Financial Solutions (www.mviewfs.com), a leading advisor to the financial services industry, delivers rigorous and objective analysis, data-driven insights and client-centric services that help business leaders Climb Higher™ by better identifying, quantifying and managing credit and interest rate risk exposure and optimizing balance sheet management. Fueled by deep industry knowledge and unparalleled access to valuable market and industry data, MountainView delivers a more holistic view of risk and opportunity that enables clients to make informed and confident decisions.
Specific services the company offers include financial model validations, asset valuations for residential whole loans, consumer loans, residential mortgage servicing rights (MSR) and asset-backed securities, MSR hedge advisory, core deposit analyses, stress testing, and asset sale transaction advisory.
Built upon nearly three decades of risk management experience, MountainView currently serves more than 600 active clients in banking, insurance, lending, servicing and secondary market and securitization.
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