Quantitative Modeling and Research Analyst (II or Senior)

Specific Responsibilities

• Implements, tests, and operates a diverse range of models for loan valuation, pledged collateral hair-cut, probability of default, loss estimation, etc.
• Utilizes modeling, statistical, and computational techniques to test, evaluate, and calibrate/tune various credit and market risk models, as well as to set data analytics complementary to model use.
• Establishes and maintains model documentation for theory, settings, assumptions, change control, model performance monitoring, and model use guides in coordination with the Model Risk Management Group, as well as the Regulatory Advisory Bulletins.
• Explains model details, theory, assumptions, and settings to Model Users and others across the organization.
• Supports model validation requests and resolves model validation findings or recommendations.
• Interacts directly with Model Validators and Regulators with regard to model settings, assumptions, implementation, etc.
• Led the process to develop required model enhancements.
• Stays current on methodologies, statistical, mathematical, analytical, and computational techniques related to model management and development.

Position Requirements

• Graduate degree, Master’s or PhD, in Mathematics, Quantitative Analysis, Statistics, Operations Research, Financial Engineering, or any other quantitative field.
• CFA or/and FRM certifications are a plus.
• Preferred 2 years of experience for an Analyst II and 3+ years of experience for a Senior Analyst doing quantitative research, risk management, or any other quantitative related work.
• Previous experience in model development is desired.
• Preferred 2 years of experience for an Analyst II and 3+ years of experience for a Senior Analyst in a commonly used programming language, such as Python, C/C++.
• Experience with Asset/Liability and valuation software models, such as Polypaths, QRM is a plus.
• Experience with database management concepts and tools, such as SQL is a plus.
• Attention to detail, ability to multi-task, and high degree of initiative and independence.
• Verbal, written, and interpersonal skills to communicate effectively with all levels of Bank personnel.