Quantitative Risk Analyst
Posted on: 16 Jul 2024
Morristown, NJ
Job Description
Overview
This role will work in quantitative modeling group within Modeling and Analytics team to support model development initiatives in the loss forecasting, CCAR (Comprehensive Capital Analysis and Review)/stress testing, CECL (Current Expected Credit Loss) practices. Participates in the Bank’s Model Governance processes including development and execution of model performance monitoring plans and effective challenge/peer review of other team’s models.
Responsibilities
Maintains an understanding of loss modeling techniques commonly used in CECL and Credit Risk Stress Testing/CCAR and ratings score carding processes such as transition ratings models, logistic regression/hazard models, competing state hazard models, vintage loss models, etc.
Develop and support of credit loss models (Probability of Default, Exposure at Default, Loss Given Default) for commercial and industrial (C&I) and commercial real estate (CRE) portfolios. Has strong programming skills in Python/SAS (or similar analytics software) and has ability to work with large modeling datasets.
Ability to work as part of analytical team and do analysis with minimum supervision.
Produce accurate, concise and high-quality model build documentation
Create model performance monitoring reports on an ongoing basis and share results with various stakeholders
Support the implementation of the models managed by the group
Contribute to model development presentations for various audiences including model risk management, credit officers, model users, internal audit and regulators.
The role will primarily focus on supporting model development and model monitoring.
Qualifications
Bachelor's Degree and 1 years of experience in Risk Analytics or Analytics OR High School Diploma or GED and 5 years of experience in Risk Analytics or Analytics
Requirements:
Advanced degree (Masters or PhD) in Quantitative discipline such as Statistics, Applied Mathematics, Operations Research, Econometrics, Actuarial Science
Advanced knowledge of Statistical Methods for model building, Machine Learning, and Big Data
Excellent programming knowledge in SAS / Python or R
Excellent data manipulation skills on large data sets with ability to source data from Oracle / SQL
Ability to solve problems while working under pressure, and undertake, execute and deliver on-time multiple simultaneous projects under tight deadlines
Excellent written and verbal communication with a focus on detailed and clear technical writing
First Citizens Bank
Raleigh, NC
Forever Strong. Forever First®.
For more than 120 years, First Citizens Bank has been helping families and businesses do more with the money they earn, save and invest. In that time, we've built a solid track record of service, stability and reliability. We remain committed to smart, steady growth ... for our company and our customers alike.
Forever Family.
First Citizens began in 1898 as the Bank of Smithfield in Johnston County, North Carolina. From a single office, we've grown to more than 500 branches in 19 states.
Today, First Citizens is one of America's largest family-controlled banks, led for three generations by members of the same family. That's created a continuity of stable, forward-looking leadership focused more on building a strong bank that can last for generations than on short-term results.
Forever Helping.
Over the years, the way we do banking has changed. First Citizens has added new capabilities and new offerings. In addition to traditional banking services, we provide customers with services that include wealth management1, business and commercial banking, treasury services, insurance services1 and much more.
We also complement our industry-leading branch service with state-of-the-art digital banking tools. From First Citizens Digital Banking with Manage My MoneySM to Business Online Banking (BOB) Advantage®, we give customers more ways than ever to look after their financial lives.
Forever Stable.
First Citizens is a banking subsidiary of First Citizens BancShares, Inc. (NASDAQ: FCNCA), a $39 billion financial holding company.
As a First Citizens customer, you benefit from the stability of our top-tier credit quality, outstanding capital strength and strong liquid balance sheet. We never compromise the security of our customers' assets, regardless of the latest market trends or financial pressures.
At First Citizens, we've built our company on such timeless values as integrity, hard work and taking the long-term view. We avoid fads and gimmicks; instead, we believe in sound decisions that create real security and growth for generations to come.
Forever First is our commitment to be there through the years for the people, businesses and communities who rely on us to be the best bank we can be. As we say, "Money isn't everything. But so much depends on what you do with your money."
First Citizens Bank. Forever First®.
First Citizens Bank
Established in 1898, First Citizens Bank is headquartered in Raleigh, N.C.
The bank serves Arizona, California, Colorado, Florida, Georgia, Kansas, Maryland, Missouri, New Mexico, North Carolina, Oklahoma, Oregon, South Carolina, Tennessee, Texas, Virginia, Washington, West Virginia, and Wisconsin with more than 500 branches.
First Citizens offers a complete line of financial services, including personal banking, business banking, wealth management, investment services1, insurance services1 and more.
First Citizens BancShares
Our parent company, First Citizens BancShares, is one of the largest family-controlled bank holding companies in the United States.
The company is publicly traded on NASDAQ under the symbol FCNCA2, Opens in a new tab.
Headquartered in Raleigh, N.C., BancShares’ assets total more than $39 billion.
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IndustryBanking/Financial Services
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No. of Employees5000+
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Website
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Jobs Posted466
