M&T Bank is looking to develop, implement, maintain, analyze, and manage quantitative/econometric behavioral models for credit risk, interest rate risk, liquidity risk management, and balance sheet and capital planning. The role requires an expert to serve as a Bank-wide or industry expert in quantitative risk management, mentor junior analysts, and potentially lead teams on projects.
Requirements
- Minimum of 6 years’ on-the-job experience with pertinent statistical software packages (SAS, Python, Stata, R)
- Minimum of 6 years’ on-the-job experience with data management environment, such as SQL Server Management Studio
- Minimum of 6 years’ on-the-job experience analyzing large data sets and explaining results of analysis through concise written and verbal communication as well as charts/graphs
- Experience in using commercial risk rating scorecards (PD and LGD)
- Minimum of 8 years’ statistical analysis programming experience
- Fluency and high proficiency in econometric/statistical techniques, especially time-series analysis, panel data methods and logistic regression
- Knowledge and familiarity with key aspects of model risk management and model validation, including SR-11-7 guidance on model risk management
Responsibilities
- Lead research and development of 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 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 the 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 in to existing models to improve predictive results.
- Develop, maintain, and manage satisfactory model documentation, including process narratives and performance monitoring guidelines to serve as reference source.
- Lead financial analysis and data support to other groups/departments across the Bank as required, serving as Bank-wide expert in area(s) of quantitative risk management. Lead engagements with colleagues in Model Risk Management for model validation exercises.
- Provide guidance and direction to less experienced personnel regarding all aspects of data and financial analysis and the development and management of predictive statistical models.
Other
- This is a hybrid position requiring in-office work three days every week.
- Independently develops, implements, maintains, analyzes and manages quantitative/econometric behavioral models used for credit risk, interest rate risk and liquidity risk management, as well as balance sheet and capital planning.
- Serves as Bank-wide or industry expert in key area(s) of quantitative risk management.
- Provides mentoring, training and guidance to less experienced analysts and may lead/manage teams on a project basis, providing performance feedback to management as appropriate.
- Promote an environment that supports belonging and reflects the M&T Bank brand.
