Sr. Quantitative Risk Analyst

Sr. Quantitative Risk Analyst

General Summary:
Provides advanced level of credit risk analytics and assessment in support of credit risk management. Leads and fully participates in the use, development, and maintenance of various credit risk models including but not limited to counterparty credit ratings models, whole loan credit stress testing and valuation models, and mortgage credit default and loss models. Performs  quantitative analyses, modeling, and research in support of monitoring, assessing, reporting, and collaborating on credit risk management and analytics. Provides advanced-level analysis in support of recommendations and management information related to in the development, use, maintenance, and update of models used in credit risk analytics.

Principal Duties and Responsibilities:

• Initiates, develops, implements, monitors, and maintains the Bank’s credit risk related models ensuring all modeling and analytics meets expected standards.
• Responsible for assessing model risk through evaluation and maintenance of model conceptual soundness, performance monitoring, and model documentation for all credit models related to mortgage risk analytics and counterparty credit risk management.
• Researches, implements,and presents regular and ad-hoc market environment update and impact on credit risk models and analytics.
• Initiates and actively supports efforts to develop, build consensus, apply and maintain the enterprise risk management function and program, especially related to credit risk modeling and analytics.
• Effectively communicate model concepts and results to internal management and external regulators.

Minimum Knowledge, Skills And Abilities Required:

• Master’s Degree in finance, financial engineering, economics, quantitative finance, or similar field of study is required. Industry certifications such as CFA, FRM, COF is a plus.
• Five years of related experience performing quantitative risk analysis preferably in credit risk, model risk or model validation roles.
• Strong working knowledge and experience with credit risk modeling in Banking or fixed income credit risk management such as mortgage default and loss models for residential and commercial mortgages, counterparty credit risk modeling, and model risk.
• Advanced proficiency in Excel and programming languages for data querying such as Python, R, SQL, etc. to extract data, manipulate data, develop and implement new models and perform advanced analytics is required.
• Excellent verbal and written interpersonal communication skills in conveying concepts to both technical and non-technical audiences.

Working Conditions:

Requires daily use of personal computer and modeling software.  Flexibility to work outside normal working hours and meet multiple and changing deadlines in a fast-paced environment.  Ability to pay close attention to detail since errors could result in significant monetary loss to the organization.