*Send resumes to **[email protected]* <[email protected]>* or reach me at 631-759-8044 Ext: 405*
*Job Title: Stress Testing Production Consultant * *Location: San Francisco - CA * *Duration: 6+ Months* The stress test production team works closely with the stress test modeling team to streamline and automate the bank’s suite of credit loss forecasting models. Our short-term goal is to build an integrated production platform that runs the models and report results “on demand” for a few macroeconomic scenarios. Longer term, we expect to augment and optimize the platform to run Monte Carlo simulations of credit losses for a large number of macroeconomic scenarios. Our production platform is written primarily in R and will include about a dozen loss forecasting models covering different segments of the bank’s wholesale and retail loan portfolios. Each model takes loan/borrower data and forecasts losses based on macroeconomic drivers specified over the next few years. *REQUIREMENTS: * · Bachelor's degree in a quantitative field · Working knowledge of R or Matlab (C++/Java) and SQL, or similar languages · Demonstrated ability to work quickly on complex projects and produce high-quality results, without compromising one or the other · Excellent communication skills, written and verbal · Ability to learn quickly, especially if experience is from a different industry · High performer who will thrive in an environment with substantial opportunities for professional growth *MAJOR RESPONSIBILITIES: * • Build, run, and maintain an automated production platform for credit loss stress test models. • Report accurate and timely results during CCAR and DFAST stress testing cycles, and to meet ad hoc managerial requests. • Modify existing model code to enable seamless automation and minimize model execution time. • Coordinate, download and process exposure-level input data from data warehouse. • Update production models as needed to ensure they produce identical results to the development models. • Maintain a suite of unit and integration tests to monitor the health of the production system, e.g. after each code change. • Write and maintain documentation for the production system. -- Thanks & Regards, *Sampath* Damcosoft Inc. Phone: 631-759-8044 Ext: 405 Email: *[email protected] <[email protected]>* GTalk: [email protected] Website: www.damcosoft.com -- You received this message because you are subscribed to the Google Groups "American Vendor--IT Consulting" group. To unsubscribe from this group and stop receiving emails from it, send an email to [email protected]. To post to this group, send email to [email protected]. Visit this group at http://groups.google.com/group/sap-vendor. For more options, visit https://groups.google.com/d/optout.
