Quantitative Analyst I

Job Summary:

The Quantitative Analyst I (“Analyst”) is a member of the Balance Sheet Strategy & Analytics team within Enterprise Risk Management (“ERM”), which is central to the company’s risk management activities, risk and performance measurement, and financial planning & analysis. The team supports the company’s asset liability management program through advanced financial modeling, including ownership of the interest rate risk model and liquidity stress testing. The team helps ensure that the interest rate risk and liquidity risk profile of the balance sheet is in line with the company’s risk appetite by providing consultation and support for decision making by the Asset-Liability Committee (“ALCO”) and the Senior Investment Officer. Responsibilities also include forecasting of Net Interest Income (NII) and non-interest revenue within the company’s financial planning processes, including the annual budget process, that support strategic planning by senior management and the board of directors.

The Analyst provides knowledge and experience in data preparation, data analytics, and statistical modeling to support the interest rate risk and liquidity measurement activities. The role supports the technical design of data preparation and automation in order to facilitate balance sheet research and inputs into financial models. In addition, responsibilities include development, documentation, and back-testing of behavioral models of the bank’s products and balance sheet segments, including cashflow forecasting and pricing models.

Job Description:

ESSENTIAL JOB FUNCTIONS

The statements on this job description are intended to describe the general nature of level of work being performed by incumbents. They are not an exhaustive list of all responsibilities, duties, and skills required by all incumbents.

Data Preparation and Automation

• Provides data preparation knowledge and experience to support the planning, build, and maintenance of the technical design of data preparation and automation, using advanced scripting data tools such as SQL and R or Python, in order to facilitate balance sheet research and inputs into financial models.
• Develop and maintain data feeds using PowerQuery into the asset-liability software, risk profile reporting, peer comparison reporting, and other ad-hoc reports.
• Design and develop PowerBI visuals on the balance sheets risk profile, actual and forecasted cashflows, and peer comparisons.

Balance Sheet Analytics

• Analyze and model bank product behaviors and other balance sheet activities to forecast cashflow assumptions. Includes forecasts of loan prepayments and deposit decay.
• Analyze loan and deposit pricing in order to forecast loan pricing and deposits betas.
• Provide data modeling knowledge and experience to forecast non-interest revenues that support financial planning activities.
• Document and compile support of all cashflow, revenue, and ad-hoc forecasts; including periodic reassessment/back-testing of assumptions.
• Draws insightful conclusions from the behavior modeling and revenue forecasts and communicates such conclusions in simple non-complex language to relevant stakeholders and decision makers. Participate in consulting the lines-of-business on how to use such conclusions to optimize their strategies and decision-making.