Senior Quantitative Model Analyst (Hybrid)

Overview:
Senior Analyst - Quantitative Model Analyst 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 Loan Models and Loan Modeling Framework (Funded, Unfunded, Attrition/Runoff). This role is responsible to design and develop pre-provision net revenue (PPNR) loan forecasting models used in bank stress testing (CCAR) and in Business as Usual (BAU) forecasting processes. The leader will be responsible for establishing a 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 Los Angeles, CA, Charlotte, NC, or Raleigh, NC.
Responsibilities:

• Modeling - Responsible to build and own new and existing loan forecasting models which cover total balance, commitment, unfunded, funded, attrition/runoff and prepayment model components. Align model segmentation to business expectation, credit loss forecast team.
• Reporting - Updates Internal Procedures and Guidelines documents to make sure the group's stress testing processes are up to date and model development documentation is aligned to FCB MRM policy and SR 11-7 and SR 15-19. Maintains the process flows updated and saves operational/governance controls.
• Business Support - Work with business and CCAR stakeholders regarding current and/or proposed PPNR models working with businesses, risk, and finance teams to submit and validate data and analyze the consolidated results production of the final regulatory 14A submission and data quality assurance of the submission and partnering with other CCAR teams such as documentation, process or review and challenge to provide and analyze results. Collaborates with model validation, Credit Team, data team, other modeling teams and audit.
• Financial Support - Develop robust qualitative and quantitative models and analytics for improving CCAR stress testing results and capital decision-making. Support treasury ALM on interest rate risk management by building BAU models. Enhance analytics to support line of business to understand 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.

In California, the base pay for this position is relative to your experience but the range is generally $118,768 to $160,686 per year. This position is eligible for variable compensation, which may be in the form of incentive, bonus, or commission pay. First Citizens offers a competitive, comprehensive benefits program which you can review here: .
Qualifications:
Bachelor's Degree and 6 years of experience in Finance OR High School Diploma or GED and 10 years of experience

Preferred Qualifications

• Master's degree in statistics, economics, econometrics, applied mathematics, quantitative finance or related field is preferred. CFA is preferred.
• 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.
• Knowledge in 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 SAS, R, Python, or other data analytics (e.g. SQL) or quantitative libraries.
• Prior experience at CCAR filing institution or Large Financial Institution (LFI) presenting to regulators, model validators and auditors modeling methodology and model development decisions and documentation.
• Understanding of ALM theory and QRM experience preferred.