Senior Quantitative Modeling and Research Analyst
About The Position
The Senior Quantitative Modeling/Research Analyst is responsible for the development and maintenance of various financial models used across the organization. The role resides in the Modeling & Analytics Group (M&A) within the Enterprise Risk Management (ERM) department. Through these responsibilities, the M&A Group works closely with several lines of business, as well as with Information Technology, Model Risk Management, and Internal Audit. The following statements are intended to describe the general nature and level of work being performed by people assigned to the job. They are not intended to be an exhaustive list of all responsibilities or abilities required. The Bank reserves the right to alter or amend this description at any time.
Requirements
- Graduate degree in Mathematics, Quantitative Analysis, Statistics, Operations Research, Financial Engineering, or any other quantitative field.
- Master or PhD.
- Preferred 3+ years of experience doing quantitative research, risk management, or any other quantitative related work.
- Model development experience strongly preferred.
- Preferred 3+ years of experience in a commonly used programming language such Python, C/C++.
- 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.
- Must not have been convicted of any civil or criminal charge that would suggest a risk to Bank security.
- Ability to work full-time.
- Ability to uphold and model the Bank's Guiding Principles.
Nice To Haves
- CFA or/and FRM certifications are a plus.
- 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.
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.
- Leads the process to develop required model enhancements.
- Stays current on methodologies, statistical, mathematical, analytical, and computational techniques related to model management and development.
Benefits
- Flexible hybrid workforce model: Onsite three days a week and two days remote. We also offer remote flex days!
- Fantastic, competitive pay and total rewards
- Industry-high 401(k) match: up to 6% PLUS…an additional 4% contribution!
- Tuition reimbursement assistance: To help you continue to develop personally and professionally.
- Student loan repayment assistance: That’s right, we will help you repay outstanding student loans!
- Awesome Benefits Package: Medical, dental, vision benefits and even pet (you read that right) insurance!
- Generous time off: Vacation, paid federal holidays, birthday month floating holiday, volunteer day and summer hours program
- "Dress for your day" dress code: You choose the appropriate work attire based on what your day looks like.
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What This Job Offers
Job Type
Full-time
Career Level
Senior
