Head of Quantitative Research

Confidential Company  •  Westbury, NY

Financial Services

Salary depends on experience
Posted on 11/29/17 by Jay Reynolds
Westbury, NY
Financial Services
Salary depends on experience
Posted on 11/29/17 by Jay Reynolds

Head of Quantitative Research 

The Head of Quantitative Research leads a team of analysts to support the implementation and execution of the bank wide model governance policy (MGP). This includes the review of models used within the Bank including; economic reasoning and methodology, data analysis and the creation of challenger models, preparation of model documentation, ongoing performance monitoring, benchmarking, user acceptance testing and outcome analysis.

 

ESSENTIAL FUNCTIONS:

  • Contributes to model validation plans, in a collaborative, leadership, and analytic capacity.
  • Complies with the company's MGP.
  • Develops and maintains an understanding of business processes and portfolios related with model use, and the nature of model use within those methods. Contributes horizontally by sharing knowledge across validation teams and mentoring analysts and interns.
  • Ensures validation processes and results are properly documented.
  • Evaluates the methodologies and processes used by modeling teams to progress and manage their models, and detects possible risk and the accompanying materiality of the risk.
  • Benchmarks model methodologies and performance by specifying and managing the expansion of different models.
  • Solves economic problems and makes conclusions with analytical justifications. Provides constructive and actionable solutions to model issues identified.
  • Researches industry practices related to model methodologies.
  • Communicates validation results to management, model owners, regulators, and auditors.
  • Leverages education, colleagues and training opportunities to develop solutions to business problems.
  • Assesses model risks and limitations, makes model change recommendations, and tracks remediation and ongoing model risk issues.

 QUALIFICATIONS:

  • Education and experience:{Master's degree in Economics, Finance, Mathematics, Computational Finance or a related field required.
  • Advanced bank risk management experiencepreferred or equivalent advanced degree.
  • Experience with model development and validation with respect to multi-family and commercial real estate lending.

Knowledge, skills and abilities:

  • Knowledge of stress testing regulations and requirements.
  • Knowledge of banking and credit risk analysis & management, including key riskdrivers.
  • Knowledge of basic risk management concepts and principles, valuation of basic instruments and basic accounting principles.
  • Knowledge of financial markets, interest rates and potential impact of current economic activity.
  • Advanced quantitative and analytical skills.
  • Excellent knowledge of statistics, mathematics and financialrisk modeling.Advanced proficiency in SAS, Excel, Matlab, R and/or VBA.
  • Highly motivated and result-oriented, applying advanced knowledge in economics, statistics and programming to address quantitative issues across all models.
  • Ability to operate at a senior level within the organization and the ability to operate autonomously and as a member
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