M&T Bank is seeking an experienced quantitative analyst to support the development and analysis of quantitative/econometric behavioral models for credit risk, interest rate risk, and liquidity risk management, as well as balance sheet and capital planning. The role aims to improve predictive results by incorporating observations and data into existing models, identifying deviations from forecasts, and explaining variances to manage risk and identify opportunities.
Requirements
- Minimum of 1 years’ on-the-job experience with pertinent statistical software packages (SAS, Python, Stata, R), especially SAS & Python.
- Credit Risk Modeling experience
- Logistic regression in credit risk modeling experience
- Time Series Analysis & Monte Carlo simulation experience.
- Minimum of 1 years’ on-the-job experience with data management environment, such as SQL Server Management Studio
- Minimum of 1 years’ experience in managing and analyzing large data sets and explaining results of analysis through concise written and verbal communication as well as charts/graphs
- Minimum of 2 years’ statistical analysis programming experience
Responsibilities
- Assist in researching and developing quantitative behavioral models used for credit risk, interest rate risk and liquidity risk management, as well as balance sheet and capital planning, including but not limited to, loan delinquency, default and loss models, loan prepayment and utilization models, deposit attrition models and financial instrument valuation methods.
- Prepare, manage and analyze large customer loan, deposit and/or financial data sets for statistical analysis in Structured Query Language (SQL) or similar tool to properly specify and estimate econometric models to understand customer or Bank behavior for purposes of credit, interest rate, liquidity or stressed capital risk management.
- Run regressions (including time series and logistic regression), programming routines and other econometric analyses to specify models using appropriate statistical software; communicate results, including graphic and tabular forms, to fellow team members, Treasury management and Bank-wide stakeholders, including the business lines and Risk Management colleagues to demonstrate key risk drivers and dynamics of model output.
- Execute models in production environment; communicate analytical results to Bank-wide stakeholders.
- Track portfolio performance, model performance, campaign tracking and risk strategy results.
- Incorporate observations and data into existing models to improve predictive results.
- Develop and maintain satisfactory model documentation, including process narratives and performance monitoring guidelines to serve as reference source.
Other
- This is a hybrid position requiring in-office work three (3) days every week and it will be based in an Office in either Buffalo, NY, Iseline, NJ, NYC, NY, or Bridgeport, CT.
- Provide guidance and direction to less experienced personnel as needed.
- Communicate with clear narratives, compelling data visualization and technical precision, both in-person and in writing, to enable audiences to understand the analyses and forecasts.
- Partners and collaborates with colleagues in related functions, including Credit Risk Management, Asset Liability and Liquidity Management, Model Risk Management and business lines to implement and understand models for Bank use.
- Demonstrated attention to detail, execution and follow-up on multiple initiatives with Treasury and across the Bank.
- The ability to identify, analyze, rationalize and communicate complex business, data and statistical problems and recommend corresponding solutions is a key factor of success in this role.
- Promote an environment that supports belonging and reflects the M&T Bank brand.
