Sr. Quantitative Risk Analyst

Sr. Quantitative Risk Analyst

General Summary:
Provides
advanced level of credit
risk analytics and assessment in support of credit risk management. Leads and
fully participates in the use, development, and maintenance of various credit
risk models including but not limited to counterparty credit ratings models,
whole loan credit stress testing and valuation models, and mortgage credit
default and loss models. Performs quantitative
analyses, modeling, and research in support of monitoring, assessing,
reporting, and collaborating on credit risk management and analytics. Provides advanced-level analysis
in support of recommendations and management information related to in the
development, use, maintenance, and update of models used in credit risk
analytics.

Principal Duties and Responsibilities:

• Initiates, develops, implements, monitors, and maintains the Bank's credit risk related models ensuring all modeling and analytics meets expected standards.
• Responsible for assessing model risk through evaluation and maintenance of model conceptual soundness, performance monitoring, and model documentation for all credit models related to mortgage risk analytics and counterparty credit risk management.
• Researches, implements,and presents regular and ad-hoc market environment update and impact on credit risk models and analytics.
• Initiates and actively supports efforts to develop, build consensus, apply and maintain the enterprise risk management function and program, especially related to credit risk modeling and analytics.
• Effectively communicate model concepts and results to internal management and external regulators.

Minimum Knowledge,
Skills And Abilities Required:

• Master's Degree in finance, financial engineering, economics, quantitative finance, or similar field of study is required. Industry certifications such as CFA, FRM, COF is a plus.
• Five years of related experience performing quantitative risk analysis preferably in credit risk, model risk or model validation roles.
• Strong working knowledge and experience with credit risk modeling in Banking or fixed income credit risk management such as mortgage default and loss models for residential and commercial mortgages, counterparty credit risk modeling, and model risk.
• Advanced proficiency in Excel and programming languages for data querying such as Python, R, SQL, etc. to extract data, manipulate data, develop and implement new models and perform advanced analytics is required.
• Excellent verbal and written interpersonal communication skills in conveying concepts to both technical and non-technical audiences.
• Demonstrated commitment to diversity and inclusion. Promotes an environment of empathy and respect, ensures the inclusion of all team members, and actively engages in D&I events and learning opportunities.

Working Conditions:

Requires
daily use of personal computer and modeling software. Flexibility to work outside normal working
hours and meet multiple and changing deadlines in a fast-paced
environment. Ability to pay close attention
to detail since errors could result in significant monetary loss to the
organization.