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Senior Treasury Quantitative Analyst - 3DF5C in Buffalo, NY at M&T Bank

Date Posted: 4/6/2018

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Job Description

Senior Treasury Quantitative Analyst Buffalo, NY  
BASIC FUNCTION: Provides support for the Treasury Middle Office function through the analysis and reporting of pricing and risk metrics to senior management to support strategic and tactical management decisions of the Bank’s balance sheet, particularly as it relates to investments, derivatives, mortgages, and liabilities. 
  POSITION RESPONSIBILITIES: Calculate monthly prices for the investment, mortgage, derivative and liability portfolios. Perform monthly attribution analysis to identify drivers of price change. Complete the monthly calculation and reporting process for portfolio risk metrics, including duration, convexity, and prepayment speeds. Develop process enhancements to streamline the monthly calculation process and improve the report generation process. Work with Treasury team members to identify additional reports that would be helpful to the division’s decision making process. Understand the process by which the Yield Book software calculates its results. Develop comfort with changing model assumptions to produce results that are consistent with the needs of end users in Treasury and other divisions of the bank.  Calculate quarterly other than temporary impairment (OTTI) for structured financial instruments under a variety of economic scenarios and present the results to senior management. In addition, these calculations are performed during the biannual stress testing process. Document and maintain proper procedures to serve as reference of the monthly processes completed to ensure proper controls exist surrounding the quality and integrity of the middle office reports produced for senior management.   Use spreadsheet software, Structured Query Language (SQL) and Business Intelligence software to develop custom reports. Understand and adhere to the Company’s risk and regulatory standards, policies and controls in accordance with the Company’s Risk Appetite.  Identify risk-related issues needing escalation to management. Develop business intelligence solutions to aid in the visualization of portfolio performance. Promote an environment that supports diversity and reflects the M&T Bank brand. Maintain M&T internal control standards, including timely implementation of internal and external audit points together with any issues raised by external regulators as applicable. Complete other related duties as assigned.   NATURE AND SCOPE: The Treasury Middle Office’s primary responsibility is to calculate prices and manage risk for the bank’s investment, mortgage, derivative, and liability portfolios. The analysis created is used by the Bank’s management to add support for strategic business decisions. It is important for the position to communicate with clear narratives, compelling data visualization and technical precision, both in-person and in writing, to enable recipients to understand the analyses.  This role is highly technical in nature and requires demonstrated attention to detail, execution and follow-up on multiple initiatives with the Treasury Division and across the Bank.  The ability to identify, analyze, rationalize and communicate complex problems and recommend corresponding solutions is a key factor of success in this role.   MANAGERIAL/SUPERVISORY RESPONSIBILITY: May supervise the work of interns.   MINIMUM QUALIFICATIONS REQUIRED: Bachelor’s degree in statistics, economics, finance or related field in the quantitative social, physical or engineering sciences, with proven coursework proficiency in statistics, econometrics, economics, computer science, finance or risk management and a minimum of 3 years’ proven quantitative experience, or in lieu of a degree, a combined minimum of 7 years’ higher education and work experience, with proven coursework proficiency in statistics, econometrics, computer science, finance or risk management and  including a minimum of 3 years’ proven quantitative experience. Experience with pertinent statistical software packages, such as SAS, Strata, R, or Python, including 2 years’ of on-the-job use. Experience with data management environment, such as SQL Server Management Studio, including 2 years’ of on-the-job use.  Proven ability to manage and analyze large data sets and explain results of analysis through concise written and verbal communication as well as charts/graphs.   IDEAL QUALIFICATIONS PREFERRED: Masters’ of Science or Doctorate degree in statistics, economics, finance, or related field in the quantitative social, physical, or engineering sciences. Financial Risk Manager (FRM) or Chartered Financial Analyst (CFA) designation. Experience in balance sheet management and mathematical modeling of financial instruments offered by banks.  Experience using QRM Risk Framework and pertinent prepayment models.  Proven track record for being able to work autonomously, work within a team environment, exhibiting demonstrated leadership and a strong desire to learn and contribute to a group.   About M&T
At M&T, we strive to be the best place our employees ever work, the best bank our customers ever do business with and the best investment our shareholders ever make. So when looking to advance your career, look to M&T. As a top 20 US bank holding company and one of the best performing regional banks in the country, we offer a wide range of performance based career development opportunities for talented professionals. And through our longstanding tradition of careful, conservative and consistent management and a strong commitment to the communities we serve, we continue to grow with a focus on the future.
M&T Bank Corporation is an Equal Opportunity/Affirmative Action Employer.
M&T Bank Corporation does not sponsor individuals for the purpose of obtaining H-1 Visas.
M&T Bank Corporation has policies and procedures in place to promote a drug free workplace.