Associate/Senior Associate - Statistical Modeling - Financial Firm (3-11 yrs)
- Develops statistical analysis to measure and model behavior of complex assets and liabilities.
- Take ownership of model development of one or more elements on the balance sheet
- Residential Loans, GNMA Pool Buyouts, Commercial Loans & Leases, Servicing, Deposit Models.
- Balance sheet gap & duration calculation.
- Supports the Asset Liability Management (ALM) team with cash flow and valuation under various scenarios.
- Measure the dynamics of balance sheet behavior to changing macro-economic conditions.
- Leverage macro-economic fundamentals to explain behavior under changing economic conditions for the purpose of scenario analysis and stress testing.
- Document model inputs/outputs for the purpose of audit and review.
- Develop streamlined model performance and tracking reports.
- Liaison with management and financial risk analysts to deploy models within the construct of overall balance sheet risk management framework.
- Analyze hedge activity, interest rate risk inherent in financial instruments managed at the bank, develop risk metrics to accurately measure and assist in engineering hedge programs.
- Leverage third party models where necessary to measure asset/liability behavior.
- Conduct strategic research and analysis for executive management by request.
- Conduct ad hoc research and reports for the Valuation & Analytics teams.
- Develop strategies to maintain data integrity and business workflow efficiency within the banks departments. Provide recommendations for continuous improvement of the department's reports, processes, policies and procedures.
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