Analytics Manager (Multiple Positions)
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 Moody's Credit Edge data to create industry sensitivity of our Banking Client's 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.