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Quantitative Analyst

Workplace Policy Hybrid Job ID 2024-5132 Date posted 10/08/2024
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Overview:

The Quantitative Analyst plays a crucial role in enhancing the quality of financial risk management across the Bank. This position involves high-level collaboration with the Finance Team, Risk Management directors, senior leaders, business unit managers, and model owners to ensure thorough performance monitoring of key models. Focus areas include Current Expected Credit Loss (CECL) Models, Interest Rate Risk (IRR) Model, Liquidity Stress Testing Model, and Capital Stress Testing Model.

This role demands a high degree of specialized expertise in quantitative analysis and financial modeling, reflecting the advanced knowledge and intellectual rigor required. The Quantitative Model Analyst is responsible for conducting in-depth statistical testing, including back testing, sensitivity analysis, suitability analysis, benchmarking, rank ordering power tests, and accuracy tests. All performance monitoring activities must align with the Bank's Model Risk Management Framework and adhere to regulatory guidelines, ensuring robust and independent oversight of model performance.

Principal Duties & Responsibilities: 

  • Independently conduct in-depth statistical testing of the CECL models, including out-of-time sample back testing (rank ordering, KS, ROC, Gini, ME, RMSE), sensitivity analysis, suitability analysis, statistical significance of variables, and accuracy testing. Document findings and resolve issues, collaborating with the team as needed to ensure timely and accurate resolution.

  • Perform comprehensive statistical testing on the IRR model, including back testing (variance analysis), sensitivity/stress testing, and scenario analysis (e.g., ramps, shocks, flatter and steeper yield curves, inverted yield curves, and various stress tests such as NMD Betas, NMD Decay, prepayment speeds, discounting spreads). Document and address issues, coordinating with the team to resolve any identified problems.

  • Execute detailed statistical testing on Capital Stress Testing Models, including R-Squared, Adjusted R-Squared, Outliers Analysis, Standard Error, Autocorrelation, Heteroscedasticity, Multicollinearity, Normality, and Stationarity. Document issues and work with the team to formulate and implement effective remedial actions, ensuring alignment with strategic goals and regulatory requirements.

  • Independently assist in developing and maintaining policies, standards, guidelines, and procedures for Finance Model Performance Testing. Contribute to model documentation, validation, and performance monitoring, ensuring these elements are robust and aligned with regulatory and internal standards.

  • Provide expert advice on model risk management best practices and feedback on model reasonableness and suitability. Communicate significant model risks to senior leaders and business unit managers, ensuring effective escalation of critical issues.

  • Independently conduct focused reviews and full model validations based on MRM schedules, policies, and finance team requirements. Manage scheduling requirements for model performance monitoring throughout the year to ensure timely and thorough execution.

  • Determine and specify appropriate remedial actions for models with deficiencies and ensure compliance with applicable regulations and guidelines. Maintain adherence to regulatory requirements and internal policies, adjusting as necessary to accommodate changes in the bank’s complexity and regulatory environment.

  • Execute additional duties as required, applying discretion and judgment in performing essential job functions to ensure comprehensive support for the Finance Team and model risk management.


Qualifications:
  • 2-4 years of experiece in quantitative analysis, financial modeling, or risk management within the banking or financial services industry.
  • Minimum 2 years experience with finance models, specifically: ZMDesk, CMM, RiskCalc, MPA, among other Moody’s models.
  • Proven track record of conducting statistical analysis and model performance evaluation.
  • Proficiency in statistical software and programming languages such as Python, R, SAS, or similar software with statistical capabilities.
  • Strong understanding of financial risk models and their applications, including stress testing models.
  • Expertise in statistical testing methods, including back testing, sensitivity analysis, and benchmarking.
  • Ability to perform complex quantitative analysis and interpret results effectively.
  • Strong problem-solving skills and the ability to address and resolve issues related to model performance.
  • Excellent written and verbal communication skills, with the ability to present complex technical information to non-technical stakeholders.
  • Effective interpersonal skills for collaborating with various teams and departments.

Education:
  • Bachelor's Degree in Mathematics, Statistics, Actuarial, Physics, Engineering, Accounting, Finance, or Economics.
  • Master's Degree or equivalent advanced degree in a quantitative area. 

Special information to candidates:
  • Equal Opportunity Employer/Protected Veterans/Individuals with Disabilities.
  • Please view Equal Employment Opportunity Posters provided by OFCCPhere.
  • The contractor will not discharge or in any other manner discriminate against employees or applicants because they have inquired about, discussed, or disclosed their own pay or the pay of another employee or applicant. However, employees who have access to the compensation information of other employees or applicants as a part of their essential job functions cannot disclose the pay of other employees or applicants to individuals who do not otherwise have access to compensation information, unless the disclosure is (a) in response to a formal complaint or charge, (b) in furtherance of an investigation, proceeding, hearing, or action, including an investigation conducted by the employer, or (c) consistent with the contractor's legal duty to furnish information. 41 CFR 60-1.35(c)
  • Reasonable accommodation may be made to assist individuals with disabilities to complete the online application process. Please contact our Human Resources Department at 305-577-7680 or by e-mail at employment@citynational.com

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