Senior Quant Finance Analyst - MRM Retail
Grab the opportunity to achieve your full potential! Eclaro is looking for a Senior Quant Finance Analyst - MRM Retail for our client in New York, NY.
Eclaro’s client is one of the world's largest financial institutions, committed to providing the tools and services that bridge the gap between customers and their goals. If you’re up to the challenge, then take a chance at this rewarding opportunity!
The Senior Quant Finance Analyst - MRM Retail will be responsible for independently conducting quantitative analytics and complex modeling projects. You will lead efforts in reviewing models, analytic processes, or system approaches and create documentation for all activities. You must possess excellent quantitative/analytic skills and must be able to influence strategic direction, as well as develop tactical plans.
DUTIES AND RESPONSIBILITIES INCLUDE:
- Review conceptual soundness of models, mathematical specification, underlying assumptions and limitations, variable selection, data
- Assess adequacy of model documentation
- Review empirical evidence
- Challenge model assumptions and approach as needed
- Develop code to replicate results and conduct independent testing
- Assess quality of model outputs through back-testing against realized outcomes, benchmarking against alternative models, sensitivity tests around assumptions and limitations, and other relevant tests
- Verify model implementation
- Assess model accuracy, conservatism, and quantitative compliance with regulations
- Coach junior staff members and leading validation projects
- Conduct annual review and ongoing monitoring of existing models
- Write thorough technical reports for distribution and presentation to model developers, senior management, and audit and bank regulators
EDUCATION AND EXPERIENCE REQUIRED:
- Master's or Ph.D. Degree in Statistics, Mathematics, Finance, Engineering, Physics, Economics, or related field
- Background and experience in PD/EAD/LGD credit risk models for regulatory capital under the Advanced Approaches (A-IRB) or for stress testing (CCAR)
- Experience with retail products, e.g., mortgage, credit card, auto loans
- Minimum 10 years of experience in computational, engineering or scientific research, or development roles
- Minimum 5 years of experience in financial risk modeling or validation
- Minimum 5 years of programming experience using SAS, R, and/or SQL
- Experience in risk management or quant group in a financial institution, vendor, or regulator
KNOWLEDGE AND SKILLS REQUIRED:
- Knowledge of the Basel regulatory framework, US Basel III Final Rule, BCC 13-5, 14-3, and CCAR regulatory requirements
- Familiarity with OCC 2011-12 / SR 11-7
- Expertise in econometrics (e.g. discrete response models, statistical distributions, panel data)
- Strong knowledge of financial instruments and financial risk management principles
- Deep understanding and knowledge of model performance measures
- Ability to communicate clearly and effectively and influence others
- Ability to produce high-quality technical documentation
Equal Opportunity Employer: Eclaro values diversity and does not discriminate based on Race, Color, Religion, Sex, Sexual Orientation, Gender Identity, National Origin, Age, Genetic Information, Disability, Protected Veteran Status, or any other legally protected group status.