Senior Treasury Quantitative Analyst

M&T Bank•New York, NY

3d•$112,778 - $122,402•Onsite

About The Position

Use SAS, R, Python, or MATLAB to develop model implementation and execution codes. Drive implementation and execution 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 and/or financial data sets for statistical analysis in Structured Query Language (SQL) or similar tool to properly implement and execute quantitative models to understand customer or Bank behavior for purposes of credit, interest rate, liquidity or stressed capital risk management. Understand the context of the Bank’s data and businesses to ensure properly developed models. Implement and 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 into existing models to improve process efficiency. Identify deviations from forecast/expectations and explain variances. Identify risk and/or opportunities. Develop and maintain satisfactory model implementation documentation, including process narratives, guidelines, and controls to serve as reference source. Provide guidance and direction to less experienced personnel regarding all aspects of data and financial analysis and implementation and execution 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. Drive Treasury projects and initiatives under guidance and direction of management. 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.

Requirements

Master’s degree (or foreign equivalent) in Statistics, Economics, Finance or a related technical field
Two (2) years of experience in the job offered or as Model Risk Analyst, Quantitative Analyst, or related occupation.
2 years of on-the-job experience with: Using SAS, R, Python, or MATLAB to develop model analytics; Quantitative behavioral modeling 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; Conducting full and targeted scope testing on models, assessing model performance, performing independent testing, benchmarking with competitors, determining impact of model deficiencies and limitations, conducting independent analyses of model assumptions and outcomes, and evaluating remediations within a financial institution; Developing ad-hoc processes in credit risk, interest rate risk, and liquidity risk management as well as balance sheet and capital planning to address model deficiencies and enhance a model’s alignment with its target business use cases; Engaging with internal and external audit teams as well as regulators including Federal Reserve, FDIC, and OCC during process reviews of model risk management in compliance with SR 11-7; Providing controls and governance over the development, execution, and maintenance of quantitative models in conjunction with independent model validation to mitigate the risks inherent in the use of quantitative models for credit risk, interest rate risk and liquidity risk management as well as balance sheet and capital planning; and Extracting and analyzing large customer loan, deposit, and other financial data sets for statistical analysis in SQL or other similar data management environment for use in model testing and explaining results of analysis through concise written and verbal communication as well as charts to management.

Responsibilities

Develop model implementation and execution codes using SAS, R, Python, or MATLAB.
Drive implementation and execution of quantitative behavioral models for risk management and balance sheet/capital planning.
Prepare, manage, and analyze large customer loan, deposit, and/or financial data sets using SQL or similar tools.
Implement and execute models in a production environment and communicate analytical results.
Track portfolio, model, and campaign performance, and risk strategy results.
Incorporate observations and data into existing models to improve process efficiency.
Identify deviations from forecast/expectations and explain variances.
Develop and maintain model implementation documentation.
Provide guidance to less experienced personnel.
Conduct business in compliance with regulatory guidance.
Adhere to applicable compliance/operational/model risk controls and other regulatory standards, policies and procedures.
Drive Treasury projects and initiatives under management guidance.
Maintain M&T internal control standards.