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Treasury Quantitative Expert - Interest Rate Derivative Risk Modeling And Valuation / Capital Markets
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$115,703.73 - $192,839.55 a year
Full-time
- This is a hybrid position (part in-office/part remote work) and, depending upon the location of the final candidate, it will be based in an M&T office in Buffalo, NY, NYC, NY, Bridgeport, CT, Washington, DC, Baltimore, MD, or Wilimington, DE. Overview: Independently develops, implements, maintains, analyzes and manages quantitative/econometric behavioral models used for credit risk, interest rate risk and liquidity risk management, as well as balance sheet and capital planning.
- Primary Responsibilities:Lead research and development of quantitative behavioral models used for credit risk, interest rate risk and liquidity risk management, as well as balance sheet and capital planning, including but not limited to, loan delinquency, default and loss models, loan prepayment and utilization models, deposit attrition models, and financial instrument valuation methods.
- Prepare, manage and analyze large customer loan, deposit or financial data sets for statistical analysis in Structured Query Language (SQL) or similar tool to properly specify and estimate econometric models to understand customer or Bank behavior for the purposes of credit, interest rate, liquidity or stressed capital risk management.
- Run regressions (including time series and logistic regression), programming routines and other econometric analyses to specify models using appropriate statistical software; communicate results, including graphic and tabular forms, to fellow team members, Treasury management and Bank-wide stakeholders, including the business lines and Risk Management colleagues to demonstrate key risk drivers and dynamics of model output.
- Lead engagements with colleagues in Model Risk Management for model validation exercises.
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