First Republic Bank seeks a quantitative consultant/contractor for a 3-month project.
The consultant should have excellent programming skills in R and T-SQL. The consultant will help the Bank convert stress test credit loss models to meet the FASB ASU 2016-13 (aka “CECL”) accounting standards, which fundamentally changes the way U.S. banks calculate and hold allowance for loan losses (aka “ALLL”). The consultant will be responsible for solving the following problem statement:
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).
The consultant is expected to:
The consultant will work closely with our Finance team, Accounting team, Credit team, Technology team, and SOX team, but will not build predictive models.