Director Quantitative Analysis

First Citizens Bank • Raleigh, NC

74d

About The Position

This position will be responsible for leading a team of quantitative professionals in the development, testing, and/or validation of quantitative models used for capital stress testing (CCAR), interest rate risk management (IRR) and business-as-usual (BAU). Manages the robust and comprehensive model review testing and analysis in accordance with SR 11-7, SR 15-19, and all applicable review procedures and lifecycle standards. Oversees development of new model frameworks by supporting the line of business. Refines, monitors, and validates existing models. Conducts on-going communication with model owners and model developers during the course of the review. Works with large data to create models.

Requirements

• Bachelor's Degree and 8 years of experience in Financial, Statistical or Quantitative Analysis Experience, with at least 4 years of Management/Lead Experience OR High School Diploma or GED and 12 years of experience in Financial, Statistical or Quantitative Analysis Experience, with at least 4 years of Management/Lead Experience

Nice To Haves

• Advance degree, masters/PHD in quantitative field, ie mathematics, Statistics, econometrics, computer science, financial engineering, etc.
• Experience in CCAR filing institution or Large Financial Institution (LFI) presenting to regulators.
• Experience in Asset liability management, prepayment modeling, interest rate derivatives, mortgage-backed securities, model validators and model development decisions and data science.
• A solid understanding of mortgage, consumer, commercial loans, and securities.
• Demonstrate advanced proficiency in statistical modeling techniques such as linear/logistic regression model, time series, and error-correction models/ARDL, GARCH (OLS, VAR, Cointegration, etc.); Monte Carlo simulation, VaR, Greeks, duration/convexity etc.
• Ability to program in statistical/mathematical programs such as SAS, R, Python, or other data analytics (e.g. SQL) or quantitative libraries.

Responsibilities

• Spearhead the model development of loan forecasting models supporting CCAR submission, interest rate risk management, mark-to-market/asset pricing.
• Collaborate with leadership on setting strategic priorities and support the identification of quantitative modeling project opportunities.
• Identifies continuous improvements through reviews of approval decisions on relevant model development or model validation tasks, critical feedback on technical documentation, and effective challenges on model development/validation.
• Responsible for managing quant professionals in delivery of models and tools.
• Guides business strategy and acts as resource to executive leaders and senior managers across the organization.
• Determines appropriate staffing for assigned areas based on the size, scope, risks, and regulatory environment.
• Fosters team to develop professionally and in line with strategic business needs.
• Establishes and monitors expectations to achieve company and department goals.
• Makes appropriate changes to department policies, procedures, and efficiencies in order to meet objectives.
• Manages the performance, training, and evaluation of assigned staff.
• Maximizes department achievements by providing guidance and professional development.
• Maintain a high degree of accountability and courage to drive results.
• Maintain a strong, communicative relationship with key internal and external stakeholders partners (i.e., Risk Management, Treasury, Finance, Operations, Model Validation, Internal Audit, Lines of Business and Regulators).
• Coordinates with associates, business units, and other key stakeholders to ensure the success of Treasury initiatives and prudent balance sheet management.

Benefits

• Competitive, thoughtfully designed and quality benefits program.

What This Job Offers

• Job Type: Full-time
• Career Level: Senior
• Industry: Credit Intermediation and Related Activities
• Education Level: Bachelor's degree
• Number of Employees: 5,001-10,000 employees