Quantitative Finance Analyst

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This job is responsible for conducting quantitative analytics and modeling projects for specific business units or risk types. Key responsibilities include developing new models, analytic processes, or systems approaches, creating technical documentation for related activities, and working with Technology staff in the design of systems to run models developed. Job expectations include having a broad knowledge of financial markets and products.

Responsibilities:

• Performs end-to-end market risk stress testing including scenario design, scenario implementation, results consolidation, internal and external reporting, and analyzes stress scenario results to better understand key drivers

• Supports the planning related to setting quantitative work priorities in line with the bank’s overall strategy and prioritization

• Identifies continuous improvements through reviews of approval decisions on relevant model development or model validation tasks, critical feedback on technical documentation, and effective challenges on model development/validation

• Supports model development and model risk management in respective focus areas to support business requirements and the enterprise's risk appetite

• Supports the methodological, analytical, and technical guidance to effectively challenge and influence the strategic direction and tactical approaches of development/validation projects and identify areas of potential risk

• Works closely with model stakeholders and senior management with regard to communication of submission and validation outcomes

• Performs statistical analysis on large datasets and interprets results using both qualitative and quantitative approaches

Global Risk Analytics (GRA) is a sub-line of business within Global Risk Management (GRM). The GRA team provides quantitative capabilities supporting global risk management and capital management and develops a consistent set of risk and capital models and analytical tools that support decision making across the bank.

Overview of the Team - Global Markets Risk Analytics (GMRA) is part of Global Risk Analytics (GRA). It is responsible for developing, maintaining, and monitoring counterparty credit risk and market risk models. GMRA also develops analytical tools to support regulatory, audit, and internal risk management needs for Global Markets. This role sits within Market Risk Analytics Quant group (MRQ), which covers analytics and tools for all general market and specific risk models and methodologies subject to trading and banking books capital rules across Market Risk. Additionally, you will have the opportunity to gain experience across all asset classes including interest rates, foreign exchanges, credit, equities, commodities, and mortgage products. This is an excellent opportunity to work in a fast growing, international team.

Overview of the Role - As a Quantitative Finance Analyst on Market Risk Analytics team, your responsibilities will involve:

• Develop quantitative risk models, analytics, and applications in support of market risk assessment and regulatory capital calculation

• Partner with internal groups including Capital, Risk, Technology, Model Risk Management and Market Risk Management on model enhancement, performance testing and documentation to remediate internal and external requirements

• Conduct analysis and verification on market data, risk metrics and P&L time series

• Prepare developmental evidence and document to support internal and external exams

• Perform analysis for Value at Risk (VaR) / Risk not in VaR (RNiV) model development, documentations/submissions, and aid in addressing required action items raised by model risk management, issues from regulators, audit, and model performance tests

• Perform statistical analysis on market historical data and model parameters

• Develop and support benchmarking and backtesting. Identify, analyze, explain any overages

• Identify common themes across global markets along with improvement initiatives

• Communicate the results of this analysis to all model stakeholders including risk management, model development, model risk, senior management, and our regulators

• Support model development in confirming remediation of model issues prior to their being taken live

Position Overview -. Quantitative Finance Analyst - Responsible for independently conducting quantitative analytics and modeling projects and for developing new models, analytic processes, or systems approaches. Creates documentation for all activities and works with Technology staff in design of any system to run models developed. Incumbents possess excellent quantitative/analytic skills and a broad knowledge of financial markets and products.

Minimum Education Requirement: Master’s degree in related field or equivalent work experience

Required Education, Skills, and Experience:

• Advanced degree in quantitative fields such as Mathematics, Financial Mathematics/Engineering, Quantitative Finance, Statistics, Econometrics, Physics, computer science, or equivalent and 2+ years of industry experience. 

• Programming skills, preferably in Python, or equivalent object-oriented programming

• Experience in or willingness to learn derivatives pricing and/or statistical analysis of financial data, time series information.

Desired Skills and Experience:

• Experience in market risk models such as FRTB Standard Approach (SA), FRTB Internal Model Approach (IMA), Value at Risk (VaR), Risks Not in VaR (RNiV), and Stress Testing. 

• Attention to details and ability to analyze problems independently with intellectual curiosity.

• Strong written and verbal communications.

• Ability to deliver quality outcomes in a timely manner in a fast-paced environment.

Skills:

• Critical Thinking

• Quantitative Development

• Risk Analytics

• Risk Modeling

• Technical Documentation

• Adaptability

• Collaboration

• Problem Solving

• Risk Management

• Test Engineering

• Data Modeling

• Data and Trend Analysis

• Process Performance Measurement

• Research

• Written Communications

Shift:

1st shift (United States of America)

Hours Per Week: 

40