Senior Quantitative Associate - Strategic Modeling and Analytics

Overview

This position is a senior level quantitative associate that directly supports the development of balance sheet forecasting models and base pricing models focusing on linear/non-linear FX derivatives and linear/non-linear IRD derivatives. The position sits within Strategic Modeling and Analytics (SMA) team within 1LOD Treasury Department. The SMA team owns and develops a wide spectrum of models, assesses applications in support of risk management efforts that measure the market risk and identify gaps in existing or proposed processes, and supports strategic decision making. A critical responsibility of the team will be to develop Basel 3 derivative base pricing functions and partner with key stakeholders to define a Basel 3 implementation strategy. Prior experience at CCAR filing institution or Large Financial Institution (LFI) presenting to regulators, model validators and auditors modeling methodology and model development decisions and documentation is recommended. Advanced proficiency in stochastic and deterministic derivative base pricing models used to derive present values or partials of derivatives is also recommended. Experience in industry known pricing vendors (Calypso, Bloomberg, Numerix, RiskMetrics) will be highly regarded. Candidate will be responsible for establishing a fit-for-purpose models, with strong governance, analytics and documentation that aligns to SR 11-7 and SR 15-19. This is an individual contributor role that over time will grow in responsibility.

• Data Analysis - Applies scalable analytical approaches to group, cluster, and evaluate large data sets. The candidate will lead the ongoing development and support of methodologies, updates, and support for key assumptions, and/or input parameters for modeling including:
  • Develop and enhance consumer loan CCAR model, assumption, and inputs.
  • Develop Basel 3 End Game base pricing models to calculate sensitivities for traded products
  • Test model implementation in various vendor systems by developing or using benchmark models
• Model Development and support - Applies scientific/quantitative analytical approaches to draw conclusions and makes recommendations to answer business objectives and lead change. Collaborates with model validation team to go through model validation, performs performance monitoring and sensitivity test. Tests model change implementation and analyzes model change impacts. Coordinates closely with internal stakeholders to promote high-quality, consistent, and robust methodologies, assumptions, and approaches. Specific model development focus on:
  • Consumer Loan Model
  • Linear/Non-Linear FX Derivatives
  • Linear/Non-Linear IRD Derivatives
  • Linear/Non-Linear Credit Derivatives
  • Non-Linear Equity Derivatives
• Model Governance - Engage actively with Model Risk Governance to resolve high, medium, and low severity findings. Additional responsibilities include:
  • Develop scalable model performance monitoring
  • Develop logical model key performance indicators (KPIs) to measure model performance

• Masters Degree in Quantitative Discipline (Financial Engineering, Computer Science, Statistics, Economics, Applied Mathematics)
• CFA designation or work towards completion.
• Experience in statistical /quantitative analysis tools such as SQL, Python, R, Matlab
• Knowledge in statistical modeling techniques such as model forecasting and statistical modeling approaches such as linear/logistic regression model, time series, and error-correction models, GARCH (OLS, VAR, Cointegration, etc.)