Quantitative Modeler Job Description
Quantitative modeler
provides analytical support to management for risk measurement techniques, and monitoring of industry risks that might impact the Bank.
Quantitative Modeler Duties & Responsibilities
To write an effective quantitative modeler job description, begin by listing detailed duties, responsibilities and expectations. We have included quantitative modeler job description templates that you can modify and use.
Sample responsibilities for this position include:
Will assist with all phases of model development including some project management and oversight of junior staff
Monitoring the efficiency and effectiveness of surveillance controls that have been implemented throughout the Global Compliance division
Leading Global Compliance initiatives focused on business process re-engineering
Lead the development, enhancement and implementation of statistical and other quantitative models to support loss forecasting, Basel and economic capital calculations, and other business applications
Develop quantitative modeling competencies of others within the same line of business
Maintaining and enhancing PFI’s proprietary agency MBS valuation and prepayment models
Creating tools for portfolio managers to utilize in investment decision making process
Manage the interaction between the MBS portfolio managers and QRM
Serving as a mortgage market expert resource throughout the organization
Obtain and conduct data analysis required for stress testing model development
Quantitative Modeler Qualifications
Qualifications for a job description may include education, certification, and experience.
Education for Quantitative Modeler
Typically a job would require a certain level of education.
Employers hiring for the quantitative modeler job most commonly would prefer for their future employee to have a relevant degree such as Master's and Bachelor's Degree in Statistics, Mathematics, Economics, Finance, Engineering, Technical, Physics, Education, Computer Science, Graduate
Skills for Quantitative Modeler
Desired skills for quantitative modeler include:
Statistics
Competition risks
Industry risks
Quantitative and qualitative risk factors
Risk management approaches
Capital markets
Regulation CC
Regulation E
Bank Security and other regulations as applicable to this job description
Bank's written policies and procedures regarding Bank Secrecy Act
Desired experience for quantitative modeler includes:
Strong software design experience, and implementation skills preferably in C++, KDB/OneTick and Python/MatLab
8 to 10 years intensive hands-on experience developing statistical and econometrics models
Extensive experience in data exploration, data mining, data transformation, statistical estimation algorithms, and model design required
Must have working knowledge of the Bank’s consumer loan products
3 years of experience in risk modeling, knowledge of the Operational Risk models used in the industry, experience in advanced statistical modeling and model validation,preferred
In-depth knowledge of fixed income products - rates, FX
Quantitative Modeler Examples
1
Quantitative Modeler Job Description
Job Description Example
Our company is growing rapidly and is looking to fill the role of quantitative modeler. We appreciate you taking the time to review the list of qualifications and to apply for the position. If you don’t fill all of the qualifications, you may still be considered depending on your level of experience.
Responsibilities for quantitative modeler
- Perform routine analysis for model performance monitoring and model review, maintaining current model inventory for validation and audit compliance
- Assist others with conducting business research by gathering data, identifying options, and creating non-routine reports with detailed analyses
- Executing project deliverables (includes aligning non-analytical resources, developing project plans)
- Creating and executing financial analyses in support of the investment process
- Reading and interpreting financial statement from private equity firms and using information to populate and update company and fund models
- Build and analyze market and liquidity risk analytics
- Develop cash flow models for CMBS, ABS, CDO, and CLO structures
- Analyze the portfolio's interest rate hedging strategy
- Analyze the models default and recovery assumptions
- Work on improving market risk models and related databases
Qualifications for quantitative modeler
- Must have working knowledge of the Bank’s commercial/consumer loan products
- Master’s/ Advanced Degree in a quantitative/technical field
- 3-5 years of functional/professional experience in banking/financial services
- Minimum 10 years of experience, Financial Industry preferred
- Master Degree in quantitative discipline
- Experience using programming languages commonly used in model development, such as SAS, Matlab, R, and Microsoft Excel, and database languages
2
Quantitative Modeler Job Description
Job Description Example
Our company is growing rapidly and is looking for a quantitative modeler. To join our growing team, please review the list of responsibilities and qualifications.
Responsibilities for quantitative modeler
- Draw data from source systems and maintain data sets using advanced statistical/modeling tools
- Support the implementation activities around the developed models Prepare any ad-hoc risk quantification projects at the request of management
- Maintain rigorous work papers during the model development process
- Research new methods for capturing prepayment risk exposure, and evaluating risk/reward, portfolio optimization and performance attribution across for a structured Fixed Income Portfolio
- Developing and Test Risk Management methodologies
- Implement fixed income models in Python
- Analyzing exposures using stress testing and VAR techniques
- Work closely with technology to implement these models
- Partner with business units to support the development and embedding of a robust and auditable framework for remediation of model findings that are issued by Model Risk management in accordance with SR 11-7
- Develop quantitative tools and techniques to measure and analyze model risks, and establish conclusions on strengths and limitations of the model
Qualifications for quantitative modeler
- Knowledge of metrics involved in credit decisioning, such as a credit score, loan-to-value, debt service coverage ratio
- Superior oral and written communication skills (esp
- At least 1 year of experience with credit risk modeling or consumer behavior modeling
- At least 1 year of experience using SAS
- 2+ years’ experience in Credit Card Risk Modeling or 2+ years' experience in Mortgage Risk Modeling
- Advanced degree (MS, MA, or PhD) in a quantitative field (science, math, finance or engineering)
3
Quantitative Modeler Job Description
Job Description Example
Our company is hiring for a quantitative modeler. If you are looking for an exciting place to work, please take a look at the list of qualifications below.
Responsibilities for quantitative modeler
- Advocate quantitative practices across the bank
- Assist manager in production of regular and ad-hoc reports on individual and Bank-level model findings for Senior Management and regulators
- Coordinate with model validation team on any changes to the Bank’s model inventory or End user Applications
- Work with Portfolio and Risk Managers on identifying the best models to be used for pricing vanilla and exotic OTC Interest Rate Derivatives
- Work with Portfolio and Risk Managers on fine tuning existing OTC Derivatives pricing, structuring, hedging and risk models
- Identify aspects of the OTC Derivatives (Vanilla and Exotic) models in the library that may need to be tweaked, altered or fixed
- Work closely with the firm’s clients on portfolio management issues such as portfolio construction and manager evaluation
- Will be expected to conduct and author original research on key issues facing portfolio managers
- Data Mining to identify market and customer trends that will contribute to changes in credit risk and portfolio risk management
- Partner with portfolio risk managers and business lines to develop and implement risk assessment and stress testing strategies
Qualifications for quantitative modeler
- 3+ years work experience in quantitative software development or modeling
- Experience in agency MBS market
- Combination of intellectual rigor and ability to put tools into production
- Ability to works well as part of a team and enjoy a fast paced, high intensity environment
- Excellent creative and technical skills
- C++, Perl/Python, R, VBA in Unix and Windows environments
4
Quantitative Modeler Job Description
Job Description Example
Our innovative and growing company is looking to fill the role of quantitative modeler. To join our growing team, please review the list of responsibilities and qualifications.
Responsibilities for quantitative modeler
- Monitor and improve quality and maintain 'best practice' modeling development
- Providing technical knowledge and advice to the Director of Quantitative Analytics and Senior Bank Management related to quantitative econometric analysis, economic capital, and stress testing
- Developing and documenting the models needed to perform stress analyses in accordance with regulatory requirements for midsized and regional banks that may apply now and in the future
- Research, development, back-testing and reporting of market-making and quoting strategies
- Applying machine learning and statistical techniques to analyze market moves and trade data
- Development, deployment and support of production code for automated and semi-automated quoting and trading of SPG products in our in-house system, Athena
- Working with the Trading Desk to ensure optimal usage of automated strategies and analytical tools, to identify and develop business intelligence tools
- Working with Technology on ongoing improvements to market-making infrastructure, on sourcing, maintaining and exposing various market and reference data feeds
- Working with the Model Review Group to ensure models pass strict in-house standards
- Building econometric models for deposits, revenue, or other business drivers
Qualifications for quantitative modeler
- 5 years of modeling experience in financial services industry or 5 years of other experiences in credit risk modeling area
- Proficiency in a statistical software package such as R or Math lab
- Proficiency in Tableau for visualization would be a nice to have
- Proficiency in Excel and PowerPoint or equivalent substitution
- Being able to handle and perform large scale data manipulation using R or SAS
- Proficiency in multilinear regression modeling, logistic regression modeling, time series modeling, decision tree other programming and data analysis using R or SAS
5
Quantitative Modeler Job Description
Job Description Example
Our company is hiring for a quantitative modeler. Please review the list of responsibilities and qualifications. While this is our ideal list, we will consider candidates that do not necessarily have all of the qualifications, but have sufficient experience and talent.
Responsibilities for quantitative modeler
- Performing analysis to answer immediate business questions
- Identifying data anomalies
- Monitoring of internal models performance through at least annual Backtesting and Benchmarking exercises
- Communicate with the key stakeholders across the institutions (eg business lines) and at Head Office (eg Model development and Model Validation)
- Able to rebuild the model offline or to recompute figures for the purpose of validation outputs
- Document the assessment to the required standards (technical model documentation)
- Regulatory and internal project contribution, especially in the context of regulatory change or implementation
- Participation to regulatory reporting process (eg COREP, LAREX)
- Helping developing new models in all risk areas (eg prepayment models, customer behavioral models)
- Develop frameworks and tools for valuation of Interest Rate Products
Qualifications for quantitative modeler
- At least 2 years’ experience using SAS
- Minimum four (4) to six (6) years’ experience in an analytics role for a financial services company (or companies), preferably indirect nonprime auto financial services
- Prior experience developing credit scoring models
- Prior experience with logistic regression models, segmentation and variable reduction techniques, hypothesis testing, neural networks, design of experiments, ANOVA, decision trees, and linear regression
- Prior experience using SAS, particularly SAS base, SAS/STAT, PROC SQL, and SAS Macro programming
- Demonstrated ability to use SQL and SAS to extract data from multiple data sources