Quantitative Model Analyst Job at Valley National Bank
Job Responsibilities:
- Conduct independent quantitative and qualitative validation of Bank's financial models under the guidance of the Quantitative Analyst of Model Risk Management.
- Develop challenger models to facilitate validation of models presented by Line of Business.
- Documents all steps of the independent model validation process in accordance with the approved Model Risk Management policy and standards.
- Draft model validation reports for review by Quantitative Analyst
- Maintains current research in financial products and continue to enhance modeling skills and techniques to be utilized in function.
- Provides various quantitative support to other departments, including modeling techniques, deep-dive analyses, tools to increase efficiency, special topics on market or credit risk, and others.
- Assist Quantitative Analyst on reviewing/updating Model Risk Management policies and procedures.
- Assist Quantitative Analyst in monitoring the Bank's model risk inventory, schedule and list of model findings.
KNOWLEDGE, SKILLS, AND ABILITIES (KSA):
- Must have the ability to handle large data sets
- Have experience using statistical packages for research/modeling, such as R
- Must have sufficient modeling techniques in option theory, econometric forecasting and statistical analysis
- Proficiency with Visual Basic Script within Microsoft Excel
- Possess the ability to explain technical results in plain language to laymen in clear and straightforward fashion.
- Have experience defending a statistical approach and set of assumptions from regulator and audit inquiries
- Have proficient written and verbal communications skills, attention to detail and strong time management skills
- Possess strong analytical thinking and critical reasoning skills
- Have proficient interpersonal skills and ability to work effectively with colleagues across different functions
- Have the ability to effectively handle a fast-paced environment and successfully meet established deadline requirements
- Be self-motivated and must have the ability to work independently
Required Skills:
- Excellent modeling techniques in option theory (Black-Scholes, Monte-Carlo simulations, binomial trees or lattices), econometric forecasting (linear and non-linear regressions), statistical analysis (survival and clustering analysis), and various optimizations and samplings.
- Ability to handle large amount of data, usually millions of loans/accounts and hundreds of data fields over a long span of past years.
- Knowledge of programming skills in Excel, VBA/Macro, statistical software R, and other calculation tools.
- Reasonable proficiency and familiarity in vendor systems: Bloomberg and Moody's.
- Ability to transform business issues into a mathematical or statistical problem, solve them quantitatively, and then explain the solution in layman language.
- Excellent writing and communication skills.
- Vendor system knowledge preferred: ZM, Actimize, Optima Blue, Abrigo, Precision Lender, Visual Lease, Derivative Path.
Required Experience:
- Master's degree in specialized programs such as Financial Engineering or Financial Statistics Risk Management.
- Experience in new CECL modelling requirements and experience in developing sampling methodology tools is preferred.
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