Quantitative Finance Analyst

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Job Description:
This job is responsible for conducting quantitative analytics and modeling projects for specific business units or risk types. Key responsibilities include developing new models, analytic processes, or systems approaches, creating technical documentation for related activities, and working with Technology staff in the design of systems to run models developed. Job expectations include having a broad knowledge of financial markets and products.

Responsibilities:

• Performs end-to-end market risk stress testing including scenario design, scenario implementation, results consolidation, internal and external reporting, and analyzes stress scenario results to better understand key drivers

• Supports the planning related to setting quantitative work priorities in line with the bank’s overall strategy and prioritization

• Identifies continuous improvements through reviews of approval decisions on relevant model development or model validation tasks, critical feedback on technical documentation, and effective challenges on model development/validation

• Supports model development and model risk management in respective focus areas to support business requirements and the enterprise's risk appetite

• Supports the methodological, analytical, and technical guidance to effectively challenge and influence the strategic direction and tactical approaches of development/validation projects and identify areas of potential risk

• Works closely with model stakeholders and senior management with regard to communication of submission and validation outcomes

• Performs statistical analysis on large datasets and interprets results using both qualitative and quantitative approaches

Scenario and Enterprise Risk Analytics organization provides valuable insights into decision-making processes by decoding and quantifying risks to support our business strategy to achieve responsible and sustainable growth.  Our vision is to serve as the go-to function to answer day-to-day risk management questions via state-of-the-art modeling and analytical tools. We want to add value and be relevant beyond regulatory and internal compliance.

The Forecast Admin/Ongoing Monitoring (OMR) team is responsible for coordinating and delivering on an ever-growing number of regulatory and/or internally required forecast and forecast monitoring deliverables, including those for Allowance (CECL, IFRS9), U.S. Stress Testing (CCAR), International Stress Testing (EBA/ECB, ICAAP), Baseline Forecasting, and Climate Forecasting. Team serves as a central hub that brings together expertise on the wholesale portfolio, forecasting models (and their limitations), economics and emerging risks to drive insightful analysis and reporting to internal stakeholders and regulators. Team objective is to provide best-in-class model monitoring capabilities (OMR) while informing the redevelopment process, adding value to business stakeholders, and strengthening risk management.

The position is part of the Wholesale Loss Forecasting (WLF) Administration and Analytics team. The WLF Administration and Analytics team is the face of Scenario and Enterprise Risk Analytics (SERA) with both our internal and external stakeholders. This team helps bridge the gap between a technical, quantitative model framework and non-technical business stakeholders looking to make sense of these model results. The team administers the bank’s commercial loss forecasts, that ultimately help support the bank’s Allowance and stress testing needs both domestically and internationally.  The Role will interact with a wide variety of stakeholders including enterprise credit and credit risk, model developers, model risk management, allowance, finance, and capital.

Forecast Administration and Analytics employees possess a broad set of skills necessary to evaluate financial risk, produce regulatory reporting and evaluate portfolio risk for emerging, systemic, concentration and idiosyncratic risks. They collaborate with business partners to identify risk mitigation strategies. They possess high levels of skill in portfolio analysis, financial analysis and data visualization. The team welcomes a diversity of thoughts and experiences grounded in a core set of competencies with the ability to connect data points from across the enterprise. As a Quantitative Finance Analyst within Wholesale Loss Forecasting, the main responsibilities will involve:

• Analyzing and communicating model results to model stakeholders, including enterprise credit and credit risk, allowance, model development, model risk, senior management, and regulators

• Applying quantitative methods and business/economic expertise to develop model overlays that meet risk management, line of business, and regulatory requirements

• Monitoring current and emerging risks to wholesale clients (e.g. rising interest rates, persistent inflation, etc.) and considering impact on the wholesale portfolio and forecasts

• Demonstrated ability to clearly articulate to senior stakeholders model results and overlays at a level of detail commensurate with the given audience

Required Education, Skills, and Experience

• Masters' degree in Finance, Accounting, Economics, Business, or related field. Alternatively, a bachelor’s degree in a technical field (i.e: engineering, computer science, mathematics, statistics, etc.) and a demonstrated interest in finance and markets.

• Progress toward (or completion of) CFA a plus.

• Ability to identify key industry drivers, excellent quantitative skills and judgment in the field of research. 

• The candidate must be able to thrive in a fast-paced and intense environment, be intellectually curious about drivers of the economy, industry & company performance and consumer behavior

• Strong economic and financial skills and a keen interest in markets, economics, and worldwide current events 

• Strong writing and spreadsheet skills

• Must be an expert in MS Excel, experience working with statistical packages and/or programming experience preferred

• Must have excellent communication skills, written and verbal

• Must have strong attention to detail, ability to multi-task

• Must work well in a collaborative team environment and be exceptionally driven

Desired Skills and Experience

• Some knowledge of Tableau, SQL, Python.

• Good understanding of current US regulatory environment

Skills:

• Critical Thinking

• Quantitative Development

• Risk Analytics

• Risk Modeling

• Technical Documentation

• Adaptability

• Collaboration

• Problem Solving

• Risk Management

• Test Engineering

• Data Modeling

• Data and Trend Analysis

• Process Performance Measurement

• Research

• Written Communications

Minimum Education Requirement: Master’s degree in related field or equivalent work experience