Statistical Quantitative Model Analyst

SunTrust
Atlanta - United States
S: Competitive

Description -

• Responsible for development and analysis of quantitative models (financial and non-financial) focused on, but not limited to, forecasting, stress testing, valuation, interest rate modeling, and balance sheet management.
• Employ robust model development efforts to ensure production of high-quality models.
• Facilitate the articulation of each model's business objective(s).
• Support subsequent model validation efforts.
• Build model monitoring & maintenance (M&M) reports and templates and support the M&M execution over time.
• Build model production (implementation) files and work with model owners and users during User Acceptance Testing (UAT).
• Create, review, and update robust and comprehensive model documentation (methodology guide, user guide, policy documents).
• Adhere to and ensure the Bank's model development efforts meet Corporate Model Development standards, industry best practices and regulatory requirements.
• Partner with the model owner, model users, and Model Risk Management Group ("MRMG”) to ensure that risks inherent in model development and usage are properly identified and managed.
• Remediate model-related findings from validators, auditors or other compliance functions.
• Report directly to a Model Development Team Lead supporting the Director of Financial Risk Modeling.
• Assist other team leads as requested, based on project assignment(s).
• Develop, document, and defend quantitative models independently with a minimum of supervision or oversight.
• Research best practices and new modeling techniques.
• Perform complex analysis and draws conclusions.
• Oversee and assist less experienced analysts; act as mentor.

Qualifications
Requirements

• Must have a Master's degree in Statistics, Economics, Applied Mathematics, or other quantitative field.
• Must have 2 years of experience in quantitative modeling positions in the financial services sector performing the following:
o Quantitative modeling and analysis on an advanced level for Credit Risk Analysis and Loss Forecasting;
o Building of CCAR and DFAST Credit Risk Models for Auto loans, Mortgage Loans, Credit Card and HELOC using generalized linear models and Time Series models and implementing models for execution in CCAR and DFAST processes;
o Building of CCAR and DFAST PPNR models and product pricing/production models using generalized linear modeling and Time Series analysis, and implementing those models for execution in CCAR and DFAST processes;
o Risk analysis and ratings for Real Estate Mortgage Loans and Home Equity Loans;
o Statistical and mathematical modeling, including predictive regression models, linear and nonlinear forecasting/optimization models, resampling, and Monte Carlo simulation;
o Utilizing financial and analytical knowledge and extensive use of software, including SAS, VBA, Matlab, SQL and R to support quantitative analysis;
o Applying practical knowledge of numeric methods, including binomial/trinomial lattice and Monte Carlo simulation; and
o Utilizing working knowledge of major techniques in yield curve construction.

Job summary