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Company's Global Risk Analytics Enterprise Scenario Generation Team (GRA-ESG) is seeking a Quantitative Finance Manager. Company conducts economic scenario management and forecasting on a periodic basis to better understand balance sheet, earnings and capital sensitivities to certain economic and business developments, including conditions that are more severe than anticipated. This is integral to the Bank's capital, financial and strategic planning processes. A key driver of the economic scenario management process is the GRA-ESG macroeconomic model system. This system is robust and repeatable and supports the company-wide analytical process by providing an appropriately wide range of macroeconomic variable projections, grounded in historical data relationships and economics theories. A team of quantitative experts and internal economists are responsible for developing the scenarios, which are then subject to review and assessment by senior management within the Company.
As part of the GRA-ESG, the candidate will be responsible for scenario generation process improvements, implementation, backtesting, attribution, reporting and documentation. The current variable coverage includes U.S. national macro-economic models, U.S. regional macro-economic models, International models, FX models, interest rates and other financial market variable models. Our work is fast-paced and intellectually challenging, and we interact daily with economists, and senior bank management to improve our models and adapt to changing business needs
• 10+ years of quantitative development or modeling experience
• 10+ years of working experience with financial market data process development including modeling, backtesting, attribution and documentation.
• MS or PhD Degree in Economics, Econometrics, Statistics, Engineering, Mathematics, Operation Research, Finance, or related subject
• Advanced proficiency in programming languages such as Python, R, SAS, Matlab etc.
• Proficiency in visualization tools such as Tableau, R-Shiny etc.
• Willingness to work under pressure to meet deadlines
• Effective verbal and written communication skills
• Ability to coach junior analysts and act as a functional team lead
• Relevant work experience in econometric modeling, especially in interest rate, curve construction, financial market, international macro-economic or FX modeling.
• Previous CCAR, stress testing or CECL/IFRS9 working experience
• Willingness to conduct independent research to come up with quantitative solutions
• Experience to work with model validation teams and familiar with model governance and documentation procedures
• Ability to multitask and properly prioritize multiple projects
Shift:1st shift (United States of America)
Hours Per Week: 40
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