Credit Model Development Quantitative Expert

M&T Bank•Washington, DC

7d•$123,600 - $206,000•Hybrid

About The Position

Independently develops, implements, maintains, analyzes and manages quantitative/econometric behavioral models used for credit risk, interest rate risk and liquidity risk management, as well as balance sheet and capital planning. Serves as Bank-wide or industry expert in key area(s) of quantitative risk management. Provides mentoring, training and guidance to less experienced analysts and may lead/manage teams on a project basis, providing performance feedback to management as appropriate.

Requirements

Bachelor’s degree and a minimum of 6 years’ proven quantitative behavioral modeling experience, or in lieu of a degree, a combined minimum of 10 years’ higher education and/or work experience, including a minimum of 6 years’ proven quantitative behavioral modeling experience
Credit model development experience
Logistic Regression AND Linear Regression experience required
Minimum of 6 years’ on-the-job experience with pertinent statistical software packages, including Python experience (mandatory)
Minimum of 6 years’ on-the-job experience with data management environment, such as SQL Server Management Studio
Minimum of 6 years’ on-the-job experience analyzing large data sets and explaining results of analysis through concise written and verbal communication as well as charts/graphs

Nice To Haves

Masters’ of Science or Doctorate degree in statistics, economics, finance or related field in the quantitative social, physical or engineering sciences, with proven coursework proficiency in statistics, econometrics, economics, computer science, finance or risk management
Minimum of 8 years’ statistical analysis programming experience
Financial Risk Manager (FRM) or Chartered Financial Analyst (CFA) designation
Fluency and high proficiency in econometric/statistical techniques, especially time-series analysis, panel data methods and logistic regression
Experience in balance sheet management and mathematical modeling of financial instruments offered by banks
Knowledge and familiarity with key aspects of model risk management and model validation, including SR-11-7 guidance on model risk management
Proven track record for being able to work autonomously and within a team environment
Proven leadership skills
Strong desire to learn and contribute to a group
Previous experience leading and directing the work of less experienced personnel

Responsibilities

Lead research and development of quantitative behavioral models used for credit risk, interest rate risk and liquidity risk management, as well as balance sheet and capital planning, including but not limited to, loan delinquency, default and loss models, loan prepayment and utilization models, deposit attrition models, and financial instrument valuation methods.
Prepare, manage and analyze large customer loan, deposit or financial data sets for statistical analysis in Structured Query Language (SQL) or similar tool to properly specify and estimate econometric models to understand customer or Bank behavior for the purposes of credit, interest rate, liquidity or stressed capital risk management.
Understand context of the Bank’s data and businesses to ensure properly developed models.
Run regressions (including time series and logistic regression), programming routines and other econometric analyses to specify models using appropriate statistical software; communicate results, including graphic and tabular forms, to fellow team members, Treasury management and Bank-wide stakeholders, including the business lines and Risk Management colleagues to demonstrate key risk drivers and dynamics of model output.
Execute models in production environment; communicate analytical results to Bank-wide stakeholders.
Track portfolio performance, model performance, campaign tracking and risk strategy results.
Incorporate observations and data in to existing models to improve predictive results.
Develop, maintain, and manage satisfactory model documentation, including process narratives and performance monitoring guidelines to serve as reference source.
Lead financial analysis and data support to other groups/departments across the Bank as required, serving as Bank-wide expert in area(s) of quantitative risk management.
Lead engagements with colleagues in Model Risk Management for model validation exercises.
Provide guidance and direction to less experienced personnel regarding all aspects of data and financial analysis and the development and management of predictive statistical models.
Conduct business in compliance with regulatory guidance including SR (Supervision and Regulation Letters) 10-1, SR 10-6, SR 11-7, Enhanced Prudential Standards, etc.
Adhere to applicable compliance/operational/model risk controls and other second line of defense and regulatory standards, policies and procedures.
Serve as lead in managing Treasury projects and initiatives under guidance and direction of management.
Present data, results and/or recommendations to Senior Management as necessary.
May lead teams on a project basis, providing performance feedback to management as appropriate.
Understand and adhere to the Company’s risk and regulatory standards, policies and controls in accordance with the Company’s Risk Appetite.
Identify risk-related issues needing escalation to management.
Promote an environment that supports belonging and reflects the M&T Bank brand.
Maintain M&T internal control standards, including timely implementation of internal and external audit points together with any issues raised by external regulators as applicable.
Complete other related duties as assigned.