SAS Programmer

Description

Job Description Statistical Modeling background, Business/Commercial Banking Background, SAS skills. The role should be able to work on site in Boston on full time basis. Phone interviews will take place first, followed by in person.The Model Validation Group (MVG) performs independent review and validation of models throughout Citizens Financial Group (CFG). These models/approaches are used throughout the bank to determine capital requirement (Basel II and Economic Capital), credit risk parameters (PD/LGD/EAD), pricing and profitability, loan loss reserves, and risk measurement of other risk types including operational and market risk. In addition, the MVG is also responsible for creating and implementing a companywide framework to management model risk throughout model lifecycle across all business areas at Citizens Financial Group. The model validation and model risk management activities are under the regulatory guidance of OCC 201112 and related U.S. Basel II Final Rule. This role reviews and validates Basel II PD/LGD/EAD and other financial models used in CFG commercial and retail banking area, particularly on data construction aspect. The role holder will perform technical analysis using SAS and/or MatLab, write comprehensive validation document, and assist the work of more senior staff members. 35% Execute model validation plans through statistical testing, estimation, logic and accuracy checks of models. Write summaries of work done and results obtained to ensure clear and succinct documentation of the conclusions on model or calculation tool performance. Collaborate with senior members of the department to complete and present documentation to review / approval committees; 30 % Analyze and challenge data used in Basel II credit risk parameter (PD/LGD/EAD) model development to ensure it