Sr Quantitative Analyst
Title: Sr Quantitative Analyst
- Reference #: 401796
- Employer: RBS
- Website: http://cfgcareers.com/jobs/1560963-sr-quantitative-analyst-20
- Salary: Commensurate based on experience
- Working hours: Monday-Friday 8:00AM-5:00PM
- Location: Boston, MA
- Job Description:
As one of its top Risk initiatives, RBS Citizens is currently building its full suite of Basel-compliant, statistically-based risk rating models that produce Probability of Default, Loss Given Default and Exposure at Default. To that end, we are looking for a highly qualified candidate to join as a technical analyst to contribute to this exciting opportunity.
The candidate will:
• Lead the design, testing, approval and implement of the models which are assigned to them
• Is responsible for developing and executing all aspects of retail and/or wholesale credit risk parameter models and for ensuring full compliance with regulatory and accounting requirements, while providing credible management direction to support business decisions. In this capacity, the incumbent consults with various business units, regulatory, and controllership staff to understand their analytics needs, and IT and data teams who provide data for this analysis, as well as analogous staff around the RBS Group to ensure consistency of our approach with RBS Group Standards.
• Lead the efforts of the model build process through the various approval committees throughout the bank
These models/approaches are used throughout the bank to determine Basel IRB Regulatory Capital, appropriate levels of Economic Capital, appropriate reserves for Allowance for Loan and Lease Losses (ALLL), and loan pricing levels that are commensurate with the risk inherent in transactions.
• Engage with internal and external stakeholders, facilitate discussion, drive agreement on model development, and communicate quantitative methods and results to various stakeholders, including related business units, RBS and Citizens model governance and approving committees, as well as regulators.
• Oversee the development of a comprehensive risk rating framework and infrastructure, lead best practice modeling techniques, ensure comprehensive documentation, and establish models monitoring and outcome analysis.
• Partner with internal IT and vendor teams to upgrade Risk Rating platform and contribute to the integration of risk rating platform with various other loan systems and data marts.
• Coordinate the development, maintenance and enhancement of econometric models for various R&D projects, such as macro-economic linkage models and stress testing methodologies.
• Conduct quantitative portfolio analytics in coordination with the Risk reporting units, the business units and the Treasury Capital Management unit.
• Work on various ad hoc quantitative, modeling, and programming assignments using SAS, Matlab, R and SQL.
• 4+ years of progressive experience in econometric/statistical modeling of credit risk within a commercial bank or a risk consulting firm
• Masters degree in a quantitative discipline, such as Economics, Finance, and Statistics. Ph.D. preferred.
• Deep understanding and knowledge of commercial and retail banking products, operations and credit processes, including credit analysis or lending or credit portfolio management
• Strong credit risk modeling, particularly with respect to Basel II and accounting SFAS 5
• Excellent analytical, econometrical and statistical skills
• Very strong organizational and communication (both verbal and written) skills
• Results driven approach to work
Hours and Work Schedule
Hours per Week: 40
Work Schedule: Monday-Friday 8:00AM-5:00PM
Equal Employment Opportunity
It is the policy of RBS Citizens, N.A. to provide equal employment and advancement opportunities to all colleagues and applicants for employment without regard to race, color, ethnicity, religion, gender, pregnancy/childbirth, age, national origin, sexual orientation, gender identity or expression, disability or perceived disability, genetic information, citizenship, veteran or military status, marital or domestic partner status, or any other category protected by federal, state and/or local laws.