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AI Credit Default Risk Modeler

William Bergmann

Full-time · Job · New_York

About the role

Our clients include 18 regional banks and 7 credit unions who have been underwriting consumer and SMB loans with the same FICO-centric models for fifteen years. Regulatory pressure and competitive dynamics from fintech lenders are forcing a rethink. FICO alone leaves money on the table: creditworthy borrowers get rejected, and high-risk borrowers with good scores still default. We build the alternative credit risk models that fix this. You'll own the credit default prediction stack for our SMB lending clients: designing models that incorporate bank statement cash flow signals, payment behavior across utility and telecom providers, and business network relationships alongside traditional bureau data. The constraint is explainability — regulators require that adverse action decisions be described in terms a loan officer can explain to a borrower. SHAP values and model cards are part of the output, not an afterthought. This is a senior IC role with client-facing responsibility. You'll present model validation results to bank risk committees and respond to examiner questions. Technical depth and regulatory fluency are equally important.

Responsibilities

  • Design credit default prediction models incorporating alternative data sources beyond bureau scores
  • Build cash flow feature engineering from bank statement transaction data
  • Implement explainability outputs satisfying adverse action notice requirements
  • Validate models against OCC and FDIC model risk management guidelines
  • Conduct fair lending analysis and document disparate impact testing
  • Present model performance to client credit committees and regulatory examiners

Requirements

  • 6+ years in credit risk modeling or financial ML with regulatory experience
  • Deep understanding of ECOA, FCRA, and model risk management frameworks
  • Strong Python, SQL, and statistical modeling skills
  • Experience with SHAP, LIME, or other explainability techniques for regulatory use
  • Comfort presenting technical findings to non-technical banking executives

Benefits

  • Fully remote with flexible schedule
  • Comprehensive health benefits
  • $4,000 annual professional development budget
  • Equity participation
  • Performance bonus

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Categories

data science & analytics AI Business, Marketing & Strategy

Skills

python pytorch scikit-learn sql spark

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Job Type

Full-time

Level

Senior

Language

English

Salary Range

$130k – $160k / year

AI Expertise

data science & analytics AI Business, Marketing & Strategy

Skills

python pytorch scikit-learn sql spark statistics

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