Quantitative Model Analyst (multiple positions) in Seattle, WA.

U.S. Bank•Seattle, WA

1d•$72,322 - $173,100•Hybrid

About The Position

U.S. Bank is seeking the position of Quantitative Model Analyst (multiple positions) in Seattle, WA. Essential Responsibilities: Design and develop expansion of in-house engines for financial forecasting. Create, test, and implement usage of complex statistical models that cover products and services used as part of the financial-decision making process. Perform maintenance and monitoring of advanced statistical models and communicate models to stakeholders within the Bank. Implement statistical financial modeling to predict the prepayment rate, default rate, option-adjusted spread, convexity, and duration for mortgage-backed securities. Review interest rate risk management and liquidity risk management by implementing and reporting on the risk metrics. Automate workflow and boost performance using techniques including vectorizing performance critical sections and adding multiprocessing for faster result generation while maintaining accuracy and maintainability.

Requirements

Master's degree in Statistics
2 years in a Quantitative Analyst, or related, occupation
2 years of experience with Regression techniques, parametric and non-parametric algorithms, and conducting times series techniques
2 years of experience with Model validation tests and methodologies
2 years of experience with Quantitative and qualitative risk factors, industry risks, competition risks, and risk management approaches
2 years of experience with Statistical modelling
2 years of experience with Structured Finance and Mortgage-backed securities
2 years of experience with Financial forecasting and IRR
2 years of experience with Python, pandas, NumPy, and scikit-learn
2 years of experience with SQL, LaTeX, and Gitlab

Responsibilities

Design and develop expansion of in-house engines for financial forecasting.
Create, test, and implement usage of complex statistical models that cover products and services used as part of the financial-decision making process.
Perform maintenance and monitoring of advanced statistical models and communicate models to stakeholders within the Bank.
Implement statistical financial modeling to predict the prepayment rate, default rate, option-adjusted spread, convexity, and duration for mortgage-backed securities.
Review interest rate risk management and liquidity risk management by implementing and reporting on the risk metrics.
Automate workflow and boost performance using techniques including vectorizing performance critical sections and adding multiprocessing for faster result generation while maintaining accuracy and maintainability.

Benefits

Healthcare (medical, dental, vision)
Basic term and optional term life insurance
Short-term and long-term disability
Pregnancy disability and parental leave
401(k) and employer-funded retirement plan
Paid vacation (from two to five weeks depending on salary grade and tenure)
Up to 11 paid holiday opportunities
Adoption assistance
Sick and Safe Leave accruals of one hour for every 30 worked, up to 80 hours per calendar year unless otherwise provided by law
Incentive and recognition programs
Equity stock purchase
Pension