Vp, Quantitative Modeling Jobs

Job Purpose & Scope:

Responsible for building and documenting the models used to quantify and manage the company’s credit, interest rate, liquidity, operational, market, regulatory and reputational risks on an actual and pro-forma basis. The modeling and the resulting quantification is used to influence strategic decisions by executive management and the board of directors, and drive both compliance with the regulatory directives under Basel III, and guidance relative to stress testing and capital management for financial institutions (Dodd-Frank Act Stress Test – DFAST – and Comprehensive Capital Analysis and Review – CCAR – protocols). Develops the tools used to quantify credit risk, provide early identification of trends in compliance activities, and support other areas of the Bank in which predictive or analytical models can be employed to improve business performance.

Essential Functions:

• Quantify the Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD) to be used in the credit review process and in the calculation of the allowance for loan and lease losses;
• Develops and documents the models needed to perform stress analyses in accordance with regulatory requirements (DFAST, Basel III, CCAR, and other Federal regulations for large banks that may apply now and in the future).
• Leads the implementation planning and execution of models and collaborates with stakeholders on the implementation of models.
• Measure and analyze the liquidity effects of government-mandated and idiosyncratic scenarios;
• Mentors and trains Quantitative Modelers, as necessary.
• Serves as an expert resource in the fields of risk quantification and modeling in support of and working closely with both internal and external stakeholders, including business and risk professionals and regulatory authorities.
• Leads and/or assists with the remediation of models.
• Provides technical knowledge and advice to management related to quantitative analysis, modeling, economic capital, and stress testing.
• Analyze loan prepayment speeds of assets and deposit decay rates;
• Makes recommendations for enhancing resource allocation and financial performances.
• Collaborates with management in identifying, recruiting, selecting, and managing a team of high caliber analysts and modelers skilled in the development of modern, practical analytical and predictive models.
• Analyze and predict compliance with high risk laws and regulations (including those under the purview of the Consumer Financial Protection Bureau), and performance under the Community Reinvestment Act.
• Converts data from different sources into meaningful business intelligence to enhance decisions and financial performance.
• Optimize product and services pricing; and
• Assess economic capital and to ensure that risks taken are adequately compensated;
• Develops, enhances, implements, documents and provides ongoing expert support for the practical applications of analytics, financial economics, and quantitative methods in support management business decision making, risk management, capital allocation and optimal resource allocation.
• Collaborates with business units to identify the relevant asset-liability management data used in analyses and modeling and to ensure that it is collect and retained.
• Participates in and provides information for discussions with regulators, independent public accountants, and consultants on current quantitative processes, related outputs and analyses, and management determined model inputs.
• Performs other duties as may be required.
• Performs ad hoc analyses as requested by management.
• Guides and critically evaluates the efforts of consultants and vendors engaged to develop and document models to be used or in use in the production environment.
• measure risks to earnings and capital inherent in the company’s current position and business plans/forecast:
  • assess economic capital and to ensure that risks taken are adequately compensated;
  • measure and analyze the liquidity effects of government-mandated and idiosyncratic scenarios;
  • analyze loan prepayment speeds of assets and deposit decay rates;
  • quantify the Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD) to be used in the credit review process and in the calculation of the allowance for loan and lease losses;
  • optimize product and services pricing; and
  • analyze and predict compliance with high risk laws and regulations (including those under the purview of the Consumer Financial Protection Bureau), and performance under the Community Reinvestment Act.
• Develops, documents, and maintains quantitative tools and models used to, among other things,
• Periodically evaluates and enhances the models to maintain their relevance and ensure compliance with current regulatory requirements.
• Regularly exercises discretion and judgment in the performance of essential job functions.
• Communicates results of work and recommendations for improvements or enhancements effectively to all levels of management.
• Maintains good punctuality and attendance to work.
• Follows Bank policy, procedures and guidelines.

Knowledge, Skills, & Abilities:

• Knowledge of several of the following techniques:
  • Linear and non-linear regression;
  • Maximum likelihood estimation;
  • Time series estimation and forecasting;
  • Panel data analysis;
  • Limited dependent and qualitative variable models;
  • Optimization;
  • Simulation;
  • Interest rate modeling/derivative pricing;
  • Data mining;
  • Survival analysis.
• Linear and non-linear regression;
• Ability to lead and mentor others.
• Interest rate modeling/derivative pricing;
• Ability to travel for business purposes.
• Limited dependent and qualitative variable models;
• Ability to communicate effectively both verbally and in writing.
• Panel data analysis;
• Skill in using computer and Microsoft Office, including Word, Excel, Access, PowerPoint and Outlook.
• Time series estimation and forecasting;
• Survival analysis.
• Data mining;
• Ability to demonstrate effective interpersonal skills, including working in a team environment and building cross-functional relationships.
• Ability to interact with a variety of organizational levels.
• Maximum likelihood estimation;
• Ability to articulate complex theories, concepts, methodology and findings in a non-technical fashion and to non-technical audiences.
• Ability to demonstrate effective quantitative, analytical, and technical skills.
• Optimization;
• Ability to demonstrate effective problem-solving skills.
• Ability to produce high quality documents, presentations, and analyses.
• Knowledge of bank operations, including finance and treasury, credit, deposits, sales and support operations, trust and asset management, and regulatory compliance.
• Knowledge of general business principles.
• Simulation;
• Ability to design and apply complex financial and economic models and quantitative tools to solve business problems.

Equipment Used in Job Performance/Working Environment:

• Telephone
• Multi-function device
• Computer

Major Job Demands (Physical/Mental):

• Problem-solving
• Decision-making

Note: This description is not an exhaustive list of all job functions, duties, skills and job standards required. Other job functions, duties, skills, and standards may be added. Management reserves the right to add or change the job requirements at any time.
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Position Requirements:

Basic Qualifications:

• Minimum of five (5) years of increasingly responsible experience in financial and business analysis required.
• Prior experience preparing deliverables for senior management committees and corporate boards required.
• Master degree in mathematics, finance, economics, or related field, or commensurate work experience, required; PhD or other advanced degree or training preferred.
• Prior experience with standard modeling/data extraction tools (e.g., SAS (preferred) or R) and VBA required.
• Minimum of three (3) years of experience directly related to financial services modeling or model validation at a DFAST/CCAR institution required.
• Prior experience planning and leading complex quantitative projects required.