Lead Quantitative Analyst in Credit Risk Modeling

2 weeks ago

New York, New York, United States M&T Bank Full time
Position Overview:

Reporting to the Director of Credit Risk Modeling, this position is responsible for overseeing and directing a quantitative modeling team within the Commercial Credit sector. The primary focus is to address the data, systems, and modeling requirements for Commercial Risk Rating models (such as Scorecards and Behavioral models) that are essential for effective credit risk management and other organizational initiatives. This role may also contribute to model development efforts related to loss forecasting, CCAR (Comprehensive Capital Analysis and Review), stress testing, and economic capital practices. The individual will guide both daily operations and long-term strategic planning of the team to align with business objectives and regulatory standards.

Key Responsibilities:
  • Lead the establishment of the Credit Risk Management Framework by defining quantitative analytics and modeling strategies used in the risk rating framework across the organization.
  • Build, mentor, and develop a team of quantitative analysts and modelers, providing guidance and leadership to achieve desired business outcomes.
  • Oversee the creation, implementation, and upkeep of Commercial Probability of Default (PD) and Loss Given Default (LGD) credit risk models, utilizing both internal and external data sources along with advanced technologies and agile modeling methodologies.
  • Act as a liaison with critical internal stakeholders, including Technology, Enterprise Data, Finance, Product, and Regulatory Affairs, to establish firm-wide priorities.
  • Coordinate the analysis of underwriting, behavioral, market, and economic data relevant to the Bank's clientele, portfolios, and products. Interpret findings, formulate recommendations, and present insights to senior leadership.
  • Engage with a diverse range of internal clients, including executive management, to clarify the advantages, limitations, assumptions, and requirements of proposed scorecards and modeling strategies.
  • Assist less experienced managers during the model development challenge process with the Model Development Working and Oversight Groups.
  • Support internal partners in formulating and executing strategies for optimal pricing, underwriting, or funding to maximize profitability.
  • Manage the development and execution of performance metrics, reporting, and analyses to facilitate data-driven decision-making and forecasting for the organization’s clientele, products, and portfolios.
  • Incorporate automation and machine learning techniques, data frameworks, and implementation platforms to create scalable modeling solutions across data mining, segmentation, back testing, reporting, and ongoing monitoring, thereby expediting the model development process.
  • Exhibit subject matter expertise on Rating scorecard deployment while collaborating with MROC to communicate all models, ensure independent validation, present models to committees, and engage with business lines, legal, compliance, and risk committees.
  • Assess when redevelopment or recalibration is necessary due to shifts in market conditions, regulations, or strategies, and guide the redevelopment initiatives.
  • Maintain a thorough understanding of standard concepts, best practices, and procedures in current behavioral and econometric modeling practices, as well as credit risk management, applying these to internal processes as needed.
  • Exercise managerial authority regarding staffing, performance evaluations, promotions, salary recommendations, performance management, and terminations.
  • Comprehend and adhere to the Company's risk and regulatory standards, policies, and controls in line with the Company's Risk Appetite. Design, implement, maintain, and enhance internal controls to mitigate risk continuously, identifying issues that require escalation to management.
  • Foster an inclusive environment that promotes diversity and reflects the M&T Bank brand.
  • Uphold M&T internal control standards, ensuring timely implementation of internal and external audit points and addressing any issues raised by external regulators as necessary.
  • Perform other related duties as assigned.
Scope of Responsibilities:

The Commercial Scorecard group plays a vital role in the Credit Risk Management Framework. Risk Ratings are employed in various areas of the bank and significantly influence enterprise-level decisions, such as the Allowance for Loan and Lease losses, Approval Authority levels, and Asset Quality Metrics. This role is highly technical and quantitative, necessitating meticulous attention to detail and the ability to manage multiple initiatives within Credit. Success in this position hinges on the capacity to analyze, rationalize, and communicate complex business challenges while recommending effective solutions. The role requires collaboration across multiple functions and products to derive optimal solutions to business problems. Interaction with various business and functional areas of the Bank, as well as with vendors, risk management consultants, and supervisory bodies, is essential. The position also involves occasional informational and educational meetings with internal and external stakeholders. Communication with executive management and regulatory bodies regarding scorecard and behavioral modeling, as well as loss forecasting and stress testing, is critical to ensure awareness of significant issues. Additionally, the position actively participates in assigned risk governance committees.

Supervisory/Managerial Responsibilities:

Direct management responsibility for a team of 3-10 Quantitative Credit Risk Management Analysts and Modelers, with potential direct management of other Quantitative Risk Managers.

Education and Experience Required:

Bachelor's degree with a minimum of 11 years of relevant experience, or a combined minimum of 15 years of higher education and/or work experience, including at least 11 years of related experience.

Minimum of 4 years of managerial experience.

Strong understanding of quantitative analysis, econometric modeling, statistics, and related mathematics, as well as commercial bank balance sheet management.

Advanced knowledge of risk analytics, including the development, implementation, and application of relevant technologies and methodologies within an operations and regulatory compliant framework.

Strong quantitative, model development, financial, economic, and statistical skills, including proficiency in statistical programming and data structures.

Knowledge of banking products and behaviors related to credit, interest rate risk, liquidity risk, stress testing, and economic capital management.

Excellent verbal and written communication skills, along with strong cross-functional collaboration, leadership, and presentation skills.

Education and Experience Preferred:

3+ years of experience in developing sophisticated modeling frameworks utilizing advanced techniques (e.g., ML, Python, PySpark, R).

Strong understanding of quantitative analysis, econometric modeling, statistics, and commercial bank ratings frameworks.

Advanced knowledge of risk analytics, including the development, implementation, and application of relevant technologies and methodologies within an operations and regulatory compliant framework.

Proven ability to gather, match, and process large datasets across various data types (structured or unstructured).

Familiarity with model development and governance standards in the banking sector, particularly concerning credit card and consumer lending.

Excellent verbal and written communication skills, cross-functional collaboration skills, leadership skills, and presentation skills.

PhD in Mathematics, Statistics, Quantitative Analysis, or a related technical discipline is advantageous. Financial Risk Manager (FRM) or Chartered Financial Analyst (CFA) certification is a plus.

Demonstrated ability to work autonomously and collaboratively within a team environment.

A strong desire to learn and contribute to the team's success.

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