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Senior ALCM Quantitative Analyst
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$146,400 - $156,400 a year
- Responsible for developing, validating, documenting, performance monitoring, and testing of Asset Liability & Capital Management quantitative behavioral models including, but not limited, to those that forecast balance sheet, income statement, prepayments, non-contractual deposit balances, early withdrawals, pricing, spreads, rate index, yield curve, and product balance runoff & growth.
- This role will also maintain the model inventory, be the primary interface to model oversight including ALCM Second Line of Defense (SLOD), Independent Model Review (IMR), Internal Audit, vendors, and regulators, and resolve model related findings.
- Must have a Bachelor's degree or foreign equivalent in Mathematics, Statistics, Economics, or Quantitative Finance with a focus on statistical methods, or a closely related field and at least
- Alternatively, the employer will accept a Master's degree or foreign equivalent in Mathematics, Statistics, Economics or Quantitative Finance with a focus on statistical methods or a related field and at least 5 years of related work experience.
- Statistical modeling and programming using a statistical software package such as SAS, R, Matlab, Python in a financial application;
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