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Senior Quantitative Analyst

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  • Requisition # 35118
  • Job Type Day
  • Location San Francisco, CALIFORNIA
  • Date Posted 03/31/2020

Your potential. Your opportunity.

Description

Duties:  Leading credit risk activities for retail and wholesale portfolios, financial model development, implementation, and maintenance, in order to support the Bank’s credit risk management activities. Managing credit risk ratings analysis and stress test management activities for Retail (Residential Mortgage, Home Equity, Unsecured Personal Loan and Credit Card) and wholesale (CRE, C&I) portfolios. Leading the development of stress testing models for regulatory requirements including DFAST/CCAR stress tests using SQL, SAS, Tableau, R, Python, Matlab, and CoreLogic RiskModel; creating Pivot Tables, macros and VBA Scripts in Excel. Leading the development of loss projection models for regulatory capital requirement CECL (current expected credit loss) ACL projection, conducting Basel parameters estimation including PD, LGD and EAD and credit loss forecasting model development. Building predictive models and machine learning algorithms and present information using data visualization techniques. Coordinating internal data engineering teams and external vendors to expand existing sets of data used in credit decision processes by evaluating information from different data sources and by re-engineering use of existing data elements. Working with product managers and engineering teams in building more robust risk decision infrastructure, deploying risk decisioning strategies, system enhancement, new product capabilities, trouble-shooting issues etc. Working with peers inside the department, business lines, and enterprise risk teams to oversee, assess, and manage risks through analysis of model output and portfolio data. This can include regularly scheduled deliverables and ad-hoc analysis. Serving as a liaison between systems programmers and end-users.  Maintaining excellent relations and service levels with all Business Units. Leading communications for models with internal and external auditors including OCC and FRB, internal risk and business partners. Providing credible challenge to regulatory and line of business stress testing and loss outlooks for near term and long term forecasts. Mentoring junior credit risk analysts and giving guidance on model development. Leading the evaluation, development and deployment of systematic methodology improvements for the management of credit risk under FRB SR11-7 and SR16-12 framework. Leading the validation of methodologies of vendor-purchased credit risk models and tools, as well as related infrastructure. Managing and executing risk related projects including ad-hoc data manipulation and analysis, identification of potential issues, and suggested improvements to the process. 

Qualifications

Education: Master’s degree in Mathematical Finance, Statistics, Economics or a related quantitative field (or foreign equivalent degree).

Experience: 2 years of experience in financial or banking industry managing credit risk of retail and wholesale portfolios; performing financial modeling and CCAR & DFAST stress testing using SQL, SAS, Tableau, R, Python, Matlab, and CoreLogic RiskModel; risk management under FRB SR11-7 and SR16-12 framework; conducting Basel parameters estimation including PD, LGD and EAD and credit loss forecasting model development;  building predictive models and machine learning algorithms and presenting information using data visualization techniques; creating Pivot Tables, Macros and VBA scripts in Excel; performing CECL ACL loss projection; providing responses to internal and external auditors including OCC and FRB.

Location: San Francisco, CA 94104

We are committed to leveraging the diverse backgrounds, perspectives and experience of our workforce to create opportunities for our people and our business; Equal Opportunity Employer: Minority/Female/Disability/Veteran. 

  • Job Finance
  • Primary Location San Francisco, California
  • Shift Day
  • Schedule Full Time
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