Quantitative Finance Analyst

Job Description:

Enterprise Model Risk Management seeks a quantitative finance analyst to conduct independent testing and review of complex consumer credit risk models with multiple uses, including CCAR credit loss forecasting and Basel regulatory capital. These are high profile modeling areas in the bank, with continual senior management and regulatory focus.

The qualified candidate will be responsible for a broad range of model validation activities, including:

• Review, critical assessment and challenge of models on conceptual soundness, assumptions and limitations, data, developmental evidence in support of modeling choices, performance, implementation and documentation;
• Development and implementation of testing plans and testing code in order to challenge models through empirical analyses and to verify model implementation;
• Review and critical assessment of ongoing model monitoring activities;
• Writing of technical reports for distribution and presentation to model developers, senior management, and audit and banking regulators.

Qualifications

• PhD or Master’s degree in Statistics, Economics, Mathematics, Finance, Engineering, Physics or related field
• Master’s degree with 2+ years of experience in the validation field is a requirement
• Experience with cross-sectional and time-series econometrics
• Knowledge of model performance measures
• Extensive programming experience using SAS, R and/or MATLAB
• Experience working with large datasets
• Knowledge of financial instruments and financial risk management principles
• Minimum of 3 years of experience in financial risk modeling or validation
• Ability to communicate clearly and effectively
• Ability to produce high quality technical documentation

Shift:

1st shift (United States of America)

Hours Per Week:

40