Incumbent is responsible for developing quantitative and analytical models and applications in support of the Bank's risk management functions. The position also may conduct model validations of relatively simple models that employ simple statistical and nonstatistical concepts and approaches. The focus of the efforts is data quality assurance and model development to assist both strategic and tactical decision making. The position will also assist, and occasionally lead, efforts related to project planning, data capture and model development related to enterprise stress testing and the allowance for loan and lease losses. The position also develops various analytical models related to sensitivity analyses, and other areas as directed by Senior Management.
Plans and implements projects of a quantitative or statistical basis to further risk management capabilities and functionality; scope of projects spans data collection, assessment and, as appropriate, mitigation through final model development and implementation.
Develops or applies mathematical or statistical theory and methods to collect, organize, interpret, and summarize data in support of analytically-derived conclusions related to risk management initiatives.
Documents model development efforts to standards consistent with Bank policies and regulatory expectations; validates suitability of models relative to internally developed standards.
Conducts analysis to provide management with strategic and business insights related to , desirable risk/return relationships and portfolio performance. Such analysis is conducted with guidance and supervision from more senior risk management officers, including the Chief Risk Officer ("CRO").
Partners with CRO to propose strategic choices and investment decisions.
Assumes ownership of complex third-party statistical models related to risk management; advises senior management on matters related to such models.
May engage in validation of internally developed models.
Education: Master's degree in Financial Engineering, Economics, Physics or related course of study, or a bachelor's degree in Mathematics, Statistics, or related quantitative field.
Experience: Prefer some experience in: 1) working and researching with advanced analytical skills in the areas of statistics, economic/econometrics modeling or data mining applicable to banking or risk management; 2) manipulating and analyzing big data and structuring large and multiple database systems; 3) analytical and modeling; and 4) presenting analytical findings and methodology to both technical and non-technical audiences and making business recommendations via the use of Microsoft applications; and 5) demonstrated proficiency in MS Excel and statistical modeling software using scripting language applicable to Eviews and/or SAS, RATS or similar applications.
Skills/Ability: Strong analytical and reasoning skills. Strong verbal and written communication skills. Proficiency in statistical software required. Strong data mining and management skills. Good general knowledge of banking products.
Posting ID: 571159301Posted: 2020-09-30