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Senior Quantitative Model Analyst

1 month ago


Clayton, United States First Citizens Bank Full time

Overview This is a hybrid role, with the expectation that time working will regularly take place inside and outside of a company office. Senior Quantitative Risk Consultant - Senior Quantitative Model Analyst is a newly created role within the centralized Strategic Modeling and Analytics (SMA) Team in First Citizens Bank’s Treasury Department. The candidate will be responsible for developing and maintaining the firm's Loan Models and Loan Modeling Framework (Funded, Unfunded, Attrition/Runoff). This role is responsible for designing and developing pre-provision net revenue (PPNR) loan forecasting models used in bank stress testing (CCAR) and in Business as Usual (BAU) forecasting processes. The leader will be responsible for establishing 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. Responsibilities Data Analysis - Applies sophisticated analytics to assess future risk, opportunities, and effectiveness and translates results into meaningful solutions to improve decision making. Applies sophisticated knowledge and industry standard methodologies to quantify risk and aggregate exposures. Engages in model validation and produces model validation reports. Modeling - Responsible for building and owning new and existing loan forecasting models which cover total balance, commitment, unfunded, funded, attrition/runoff, and prepayment model components. Align model segmentation to business expectations and credit loss forecast team. Reporting - Updates Internal Procedures and Guidelines documents to ensure the group’s stress testing processes are up to date and model development documentation is aligned to FCB MRM policy and SR 11-7 and SR 15-19. Maintains the process flows updated and saves operational/governance controls. Business Support - Works with business and CCAR stakeholders regarding current and/or proposed PPNR models, collaborating with businesses, risk, and finance teams to submit and validate data and analyze the consolidated results production of the final regulatory 14A submission and data quality assurance of the submission. Partners with other CCAR teams such as documentation, process review, and challenge to provide and analyze results. Collaborates with model validation, Credit Team, data team, other modeling teams, and audit. Financial Support - Develops robust qualitative and quantitative models and analytics for improving CCAR stress testing results and capital decision-making. Supports treasury ALM on interest rate risk management by building BAU models. Enhances analytics to support lines of business in understanding the economic drivers of business growth. Peer Leadership - Assists management with the onboarding and training of new staff. Mentors less experienced staff, including review of daily output and coaching. Qualifications Bachelor's Degree and 6 years of experience OR High School Diploma or GED and 10 years of experience. Preferred Qualifications Master’s degree in statistics, economics, econometrics, applied mathematics, quantitative finance, or related field is preferred. CFA is preferred. 7+ years of relevant business/academic experience in quantitative modeling and model development, model implementation, or model validation experience. 5+ years of related experience in a Commercial Bank, including quantitative modeling, behavioral modeling, and database development. 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.). Ability to program in statistical/mathematical programs such as SAS, R, Python, or other data analytics (e.g., SQL) or quantitative libraries. Prior experience at a CCAR filing institution or Large Financial Institution (LFI) presenting to regulators, model validators, and auditors on modeling methodology and model development decisions and documentation. Understanding of ALM theory and QRM experience preferred. First Citizens benefits programs are designed to meet our associates where they are in life. Full-time associates (20+ hours) are offered a comprehensive benefits program, with customized offerings, including those designed to support families, however defined. More information regarding our benefits offerings can be found here . #J-18808-Ljbffr