Senior Quantitative Analyst

Primary Purpose:

The Senior Quantitative Analyst is responsible for the development and maintenance of financial, asset and liability management, and credit risk models. The Senior Quantitative Analyst facilitates and provides analytical support for departmental and corporate activities including loan and deposit product pricing and behaviors, credit trends and loss forecasting, income and balance sheet trends, financial planning and analysis, and strategic insights to support departmental and corporate goals and objectives.  The Senior Quantitative Analyst will develop and refine quantitative models, analysis and metrics to identify and measure interest rate and liquidity risk. This role with coordinate with Model Risk Management throughout the model lifecycle.

Essential Responsibilities:

• Develop, implement, and maintain the Bank’s credit loss forecasting models for CECL (Current Expected Credit Losses) to be used in the Bank’s SAS ECL solution.
• Develop, implement, and maintain the Bank’s quantitative loan, deposit, capital planning, and stress testing models and analysis for interest rate risk and liquidity risk management.
• Responsible for periodic model recalibration and/or redevelopment.
• Document the modeling process including model and assumption development, validation, and back-testing.
• Develop and execute ongoing model performance monitoring plans.
• Coordinate with Model Risk Management throughout the model lifecycle, including design, testing, documentation, implementation and ongoing model performance and adhere to all MRM policies and procedures.
• Lead the remediation effort of model validation and regulatory findings.
• Create data repositories of loan and deposit level data from multiple sources.
• Responsible for producing monthly and ad-hoc financial, credit, and asset and liability management reports.
• Research public and Bank data to develop market and industry analytical reports and provide insight to Senior Management.
• Help develop and drive the analytics vision across the organization by developing and presenting technical studies, models, and tools to Senior Management in a straightforward, intuitive style.
• Assist with the development of strategic financial planning initiatives and presentation materials for Senior Management.
• Develops a working knowledge of regulatory requirements and industry best practices.
• Adheres to applicable federal laws, rules, and regulations including those related to Anti-Money Laundering (AML) and the Bank Secrecy Act (BSA).
• Other duties as assigned.

Minimum Required Skills & Competencies:

• Bachelor's degree in a quantitative field, such as Statistics, Economics, Mathematics, or related discipline.
• Knowledge of Banking, Finance, Accounting, Credit and Risk Management.
• Behavior modeling for loans and deposits (loan prepayment or default, deposit decay, repricing beta)
• 5 years’ experience with SAS. Experience with R, Python or other object-oriented languages a plus.
• 5 years’ experience with data analysis and manipulating and analyzing large data sets.
• Able to build strong relationships with business partners.
• Strong oral and written communication skills.
• Able to work in a time-sensitive environment and handle a variety of tasks simultaneously.
• Able to work independently and in a team-oriented, collaborative environment.
• Intellectually curious; strong analytical skills, working with data and drawing conclusions.

Desired Skills & Competencies:

• 3 year credit risk management, asset and liability management, finance or accounting experience.
• 3 year of project management experience.
• Basic understanding of risk management principles, banking operations, products/services, systems, and associated risks/controls.
• Knowledge of regulatory guidance, including Current Expected Credit Losses, Interagency Guidance on Interest Rate Risk Management, Interagency Guidance on Model Risk Management.

Physical Requirements:

• Express or exchange ideas by means of the spoken word via email and verbally.
• Exert up to 10 pounds of force occasionally, use your arms and legs, and sit most of the time.
• Have close visual acuity to perform activities such as analyzing data, viewing a computer terminal, reading, and preparing documentation.
• Not substantially exposed to adverse environmental conditions.
• The physical demands described here are representative of those that must be met by an employee to successfully perform the essential responsibilities of this job. Reasonable accommodations may be made to enable individuals with disabilities to perform essential responsibilities.