Sr Data Scientist - Model Development

Overview

Description
The senior data scientist role in CFG’s Central Model Development (CMD) team within Treasury focuses on designing, developing, and deploying advanced analytics, traditional statistical methods (e.g., regression, time series, GLMs), and machine learning solutions for ALM, liquidity, and CCAR/PPNR forecasting. The successful candidate will provide guidance on model impacts and collaborate with business partners including model validation, market risk, and internal audit for model governance and regulatory obligations.

• Develop and maintain models used by the Treasury group in balance sheet forecasting
• Collaborate with Data Scientists and under the leadership of the Data Science Manager to develop customer behavior models for attrition, origination, and prepayment for deposit or loan products, and predictive models for market rates and other ALM/CCAR-associated macroeconomic variables
• Develop model documentation; interact with Model Risk Management & Validation, Market Risk Management, and other challenge groups to facilitate periodic model validations and reviews
• Monitor model performance and communicate results to internal stakeholders; propose model changes such as overlays and recalibration/redevelopment, supported by sensitivity testing, back testing, and fundamental driver analyses
• Demonstrate understanding of related models that affect ALM models and behavior, including interest rate and term structure models
• Propose improved approaches to loan and deposit modeling, challenging existing assumptions and current practices
• Assist in developing forward-looking macroeconomic and interest rate views while collaborating with CFG’s Treasury for balance sheet management
• Provide analytical support to management in developing strategies related to balance sheet and liquidity decisions
• Support initiatives such as Balance Sheet Optimization, Funds Transfer Pricing, Mortgage Servicing Rights and CCAR/DFAST when needed
• Prepare detailed yet actionable materials for ALCO and Senior Management

• Hands-on experience applying statistical analysis and machine learning techniques in the financial industry or consulting to support ALM, Stress Testing, Pricing, or Credit Risk Management
• Exposure to Treasury/ALM and CCAR/PPNR modeling, deposit behavior, interest-rate/macroeconomic modeling, and stress testing workflows preferred
• Proven experience developing ML models end-to-end using Python (pandas, scikit-learn, PySpark), SQL, and version control
• Experience with cloud & data platforms (AWS Sage Maker, H2O, Snowflake) and MLOps practices
• Strong statistical foundation and knowledge; experience working with business partners across Line of Business, Validation, Audit, and Regulatory Relations, and producing regulatory-compliant documentation
• Experience with standard prepayment (Black Rock, Black Knight, QRM) or deposit (QRM, Novantas) models desirable
• Familiarity with common financial and economic data (FRED, Bloomberg, , etc)
• Excellent presentation and communication skills; ability to convey actionable and understandable business intelligence
• Progress toward CFA charter desirable

• Graduate degree (M.S. or Ph.D.) in mathematical finance, economics, mathematics, statistics or similar STEM field is desired

The salary range for this position is $124,000 - $150,000 per year, plus an opportunity to earn an annual discretionary bonus. Actual pay is based on various factors including but not limited to the work location, and relevant skills and experience.

We offer competitive pay, comprehensive medical, dental and vision coverage, retirement benefits, maternity/paternity leave, flexible work arrangements, education reimbursement, wellness programs and more. Note, Citizens’ paid time off policy exceeds the mandatory, paid sick or paid time-away policy of every local and state jurisdiction in the United States. For an overview of our benefits, please consider reviewing the company benefits information.

This role is not eligible for new employer-sponsored or current H-1 B visa holders. Applicants, including current OPT, L and other visa holders, must be…