Sr Data Scientist - Model Development

Description

Senior Data Scientist – Treasury Modeling

CFG is a leading financial institution dedicated to providing innovative solutions to manage financial risks and optimize asset and liability portfolios. Central Model Development team (CMD) under Treasury group plays a crucial role in developing and maintaining models that support our strategic decision-making processes.

This position within CMD looks for talented and motivated candidates who will lead design, development, and deployment of advanced analytics, traditional statistical (e.g., regression, time series, GLMs) and machine learning solutions for ALM, liquidity, and CCAR/PPNR forecasting. The successful candidate will also be responsible for providing guidance to regarded functional leaders on model impacts, and collaborating with business partners including model validation, market risk, and internal audit for model governance and regulatory obligations.

Responsibilities:

• Develop and maintain models used by Treasury group in balance sheet forecasting

• By teaming with other Data Scientists and under the leadership of the Data Science Manager, develop customer behavior model for attrition, origination, and prepayment for deposit or loan products, and predictive model for market rates and other ALM/CCAR associated macroeconomic variables.

• Develop model documentation; interact effectively 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 as necessary such as overlays and recalibration/redevelopment, supporting with 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 all existing assumptions and status quo of 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 associated with 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

  Qualifications:

• Hands-on experience applying statistical analysis and machine learning techniques in the financial industry or consulting firm 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

  Education:

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

Pay Transparency

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…