Quantitative Finance Analyst - Model Developer

Job Description

The team places strong emphasis on delivering world class quantitative solutions for Front Line Unit (FLU) model owners and stakeholders through a disciplined and iterative development process. The team has responsibilities across a number of areas:

• Quantitative Modeling – Develop and maintain risk and capital Models and Model Systems across Retail and GWIM product lines. Models and Model Systems provide insight into many risk areas, including loan default, exposure at default (EAD), loss given default (LGD), delinquency, prepayment, balances, pricing, risk appetite, revenues and cash flows.
• Quantitative Development – Architect, implement, maintain, improve and integrate quantitative solutions on strategic GRA platforms. Outputs include GRA libraries that perform consumer risk model calculations, analytical tools, processes and documentation. Partner in defining, adopting, and executing GRA’s technical strategy.
• Risk and Capital Management Capabilities – Build best in class quantitative solutions that enable the Retail and GWIM lines of business to effectively manage risk and capital, through the application of the disciplined BAU development process that includes extensive interaction with the FLU model owners and stakeholders throughout the quantitative lifecycle.
• Infrastructure – Partner in driving forward the infrastructure to support the goals of GRA through code efficiencies, and expansion of quantitative capabilities to better leverage infrastructure and computational resources.
• Documentation – Deliver concise, quantitative documentation to inform stakeholders, meet policy requirements, and enable successful engagement in regulatory exams (e.g., CCAR, CECL) via automated, modularized, and standardized documentation and presentations.

We are a company committed to creating diverse and inclusive environments where people can bring their full, authentic selves to work every day. We are an equal opportunity/affirmative action employer that believes everyone matters. Qualified candidates will receive consideration for employment regardless of their race, color, ethnicity, religion, sex (including pregnancy), sexual orientation, gender identity and expression, marital status, national origin, ancestry, genetic factors, age, disability, protected veteran status, military or uniformed service member status, or any other status or characteristic protected by applicable laws, regulations, and ordinances.

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• 5+ years as a model developer (developing risk and capital models)
• Masters or PhD
• 2+ years of Spark experience
  • Millions of rows and thousands of columns of data
• Proficient in Python, SQL, Pandas and Numpy
• Quantitative documentation experience with La Tex
• Experience with CCAR and CECL