Quantitative Analyst - ALM

Company: First Citizens Bank
Location: Pasadena
Posted on: June 14, 2022

Job Description:

Overview:

This position is the senior level analyst in financial reporting and analysis for the business unit. Serves as an analytic resource for assigned systems, products, or business units by providing advanced support. Recommends improvements to current procedures, plans, and controls to achieve financial objectives, and assists in implementing recommended enhancements. Generates pricing, profitability reports, or other documentation as needed. May provide oversight for the work group through knowledge in the area of specialization.

Responsibilities:

The Quantitative Analyst will interface with internal clients and focus on a variety of challenging analytical projects, particularly in asset/liability management (ALM), stress testing, risk measurement, and valuation. The ideal candidate will have experience modeling the cash flows and risks associated with one or more of the following on-and-off balance sheet categories: consumer and commercial loans, residential mortgage, and commercial mortgages, derivatives and fixed-income securities, as well as prepayment and/or deposit behavior modeling.

Manage mortgage prepayment model currently used by ALM, including:
Monitor model performance and communicate results to various internal stakeholders
Assist business unit stakeholders in leveraging model capabilities for forecasting and analytical purposes
Support the monthly Interest Rate Risk (IRR) process associated with Economic Value of Equity (EVE) and Earnings at Risk (EaR), using Quantitative Risk Management (QRM) system
Contribute to the continued enhancements of various modeling approaches currently used in QRM across assets and liabilities
Qualifications:
Bachelor's Degree and 6 years of experience in Finance or Analytics OR High School Diploma or GED and 10 years of experience in Finance or Analytics
Preferred Qualifications:
Degree in a quantitative field such as Economics, Financial Engineering, Statistics, Mathematics, etc.; advanced degree preferred
3+ years of experience using advanced quantitative analysis and applied statistical techniques in relevant asset/liability categories, including regression, time series forecasting, economic models, data mining, survival analysis, prepayment modeling, sensitivity, back-testing, performance measurement
3+ years financial services experience with a preference for skills acquired in a function responsible for ALM, CCAR/DFAST stress testing, capital management, risk management, dynamic balance sheet/ income statement forecasting, loan or bond pricing
Demonstrated ability in developing and managing sophisticated financial models and performing ad hoc analysis to support risk, valuation, pricing, and capital decisions in relevant asset/liability categories
Experience with QRM and prepayment models (such as AFT or ADCO) highly preferred
Strong quantitative and programming abilities (Excel/VBA, SQL, R, Python, Java, C, C++, C#, etc.)
Excellent organizational and communication skills

Keywords: First Citizens Bank, Pasadena , Quantitative Analyst - ALM, Professions , Pasadena, California