Director Quantitative Analysis

This position will be responsible for leading a team of quantitative professionals in the development, testing, and/or validation of quantitative models used for capital stress testing (CCAR), interest rate risk management (IRR) and business-as-usual (BAU). Manages the robust and comprehensive model review testing and analysis in accordance with SR 11-7, SR 15-19, and all applicable review procedures and lifecycle standards. Oversees development of new model frameworks by supporting the line of business. Refines, monitors, and validates existing models. Conducts on-going communication with model owners and model developers during the course of the review. Works with large data to create models.

• Model Development and Strategic Execution - Spearhead the model development of loan forecasting models supporting CCAR submission, interest rate risk management, mark-to-market/asset pricing. Collaborate with leadership on setting strategic priorities and support the identification of quantitative modeling project opportunities. Identifies continuous improvements through reviews of approval decisions on relevant model development or model validation tasks, critical feedback on technical documentation, and effective challenges on model development/validation.
• Strategic Leadership - Responsible for managing quant professionals in delivery of models and tools. Guides business strategy and acts as resource to executive leaders and senior managers across the organization.
• Managerial Functions - Determines appropriate staffing for assigned areas based on the size, scope, risks, and regulatory environment. Fosters team to develop professionally and in line with strategic business needs. Establishes and monitors expectations to achieve company and department goals. Makes appropriate changes to department policies, procedures, and efficiencies in order to meet objectives. Manages the performance, training, and evaluation of assigned staff. Maximizes department achievements by providing guidance and professional development Maintain a high degree of accountability and courage to drive results.
• Relationship Management - Maintain a strong, communicative relationship with key internal and external stakeholders partners (i.e., Risk Management, Treasury, Finance, Operations, Model Validation, Internal Audit , Lines of Business and Regulators). Coordinates with associates, business units, and other key stakeholders to ensure the success of Treasury initiatives and prudent balance sheet management.

Bachelor's Degree and 8 years of experience in Financial, Statistical or Quantitative Analysis Experience, with at least 4 years of Management/Lead Experience OR High School Diploma or GED and 12 years of experience in Financial, Statistical or Quantitative Analysis Experience, with at least 4 years of Management/Lead Experience

Preferred Education: advance degree, masters/PHD in quantitative field, ie mathematics, Statistics, econometrics, computer science, financial engineering, etc

Preferred Area of Experience: CCAR filing institution or Large Financial Institution (LFI) presenting to regulators, Asset liability management, prepayment modeling, interest rate derivatives, mortgage-backed securities, model validators and model development decisions and data science.

Preferred Qualifications:

A solid understanding of mortgage, consumer, commercial loans, and securities.

Demonstrate advanced proficiency in statistical modeling techniques such as linear/logistic regression model, time series, and error-correction models/ARDL, GARCH (OLS, VAR, Cointegration, etc.); Monte Carlo simulation, VaR, Greeks, duration/convexity etc.

Ability to program in statistical/mathematical programs such as SAS, R, Python, or other data analytics (e.g. SQL) or quantitative libraries.

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Benefits are an integral part of total rewards and First Citizens Bank is committed to providing a competitive, thoughtfully designed and quality benefits program to meet the needs of our associates. More information can be found at https://jobs.firstcitizens.com/benefits.