Senior Quantitative Risk Consultant - CCAR Modeling

First Citizens Bank hiring for Senior Quantitative Risk Consultant - CCAR Modeling jobs in Prospect Park, NJ, US

Senior Quantitative Risk Consultant - CCAR Modeling is a newly created role within the centralized Strategic Modeling and Analytics (SMA) Team in First Citizens Bank’s Treasury Department. The candidate will be responsible for developing and maintaining the firm's NIR/NIE Models and NIR/NIE Modeling Framework. This individual will design and develop pre-provision net revenue (PPNR) NIR/NIE forecasting models used in bank stress testing (CCAR) and in Business as Usual (BAU) forecasting processes. The leader will be responsible for establishing fit-for-purpose models, with strong governance, analytics, and documentation that aligns to SR 11-7 and SR 15-19. This is an individual contributor role that over time will grow in responsibility.

Open to hybrid work for the following locations Charlotte, NC, Raleigh, NC, or Morristown, NJ.

• Modeling - Responsible for building and owning new and existing NIR/NIE forecasting models, aligning model segmentation to business expectations.
• Business Support - Work with business and CCAR stakeholders on current and/or proposed PPNR models. Partner with various teams including lines of business, data governance, PPNR governance, credit risk, model validation, capital risk oversight, audit, and finance teams to submit and validate data and analyze results.
• Reporting – Update model development documentation and procedures documents to ensure the group’s stress testing processes are up to date and aligned to FCB MRM policy and SR 11-7 and SR 15-19. Maintain process flows and operational/governance controls.
• Financial Support - Develop robust qualitative and quantitative models and analytics for improving CCAR stress testing results and capital decision-making. Enhance analytics to support the line of business and articulate the economic driver of business growth.
• Peer Leadership - Assists management with the onboarding and training of new staff. Mentors less experienced staff, including review of daily output and coaching.

Bachelor's Degree and 6 years of experience in Finance or Consulting OR High School Diploma or GED and 10 years of experience

Preferred Qualifications

• 7+ years of relevant business/academic experience in Quantitative modeling and model development, model implementation, or model validation experience.
• 5+ years of related experience in a Commercial Bank, including quantitative modeling, behavioral modeling, and database development.
• Master’s degree in statistics, economics, econometrics, applied mathematics, quantitative finance or related field is preferred. CFA is preferred.
• Knowledge of statistical modeling techniques such as model forecasting and statistical modeling approaches such as linear/logistic regression model, time series, and error-correction models, GARCH (OLS, VAR, Cointegration, etc.)
• Ability to program in statistical/mathematical programs such as Python, R, SAS, or other data analytics (e.g. SQL) or quantitative libraries.
• Prior experience at a CCAR filing institution or Large Financial Institution (LFI) presenting modeling methodology and model development decisions to regulators, model validators and auditors