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Senior Treasury Quantitative Analyst - 3DJ8Y in Buffalo, NY at M&T Bank

Date Posted: 6/29/2018

Job Snapshot

Job Description

Senior Quantitative Analyst

Buffalo, NY

 

 

BASIC FUNCTION:
Develops, implements and maintains quantitative/econometric behavioral models used for interest rate and liquidity risk management, as well as balance sheet and capital planning.


POSITION RESPONSIBILITIES:
Research and develop quantitative behavioral models used for interest rate and liquidity risk management, as well as balance sheet and capital planning, including but not limited to, loan prepayment, deposit attrition, financial instrument pricing, and credit loss estimation models.
Prepare, manage and analyze large customer deposit and loan 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 interest rate, liquidity, or stressed capital risk. Understand the context of the Bank’s data and businesses to ensure properly developed models.
Produce and run regression (including time series and logistic regression), programming routines, and other econometric analyses to specify models using statistical software (e.g. SAS, Strata, R, or Python); 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.
Formalize and implement models for use in production environment, including SAS and Quantitative Risk Management (QRM) Risk Framework. May execute models in production environment; communicate analytical results to Bank-wide stakeholders.
Develop and maintain satisfactory model documentation, including process procedures and performance monitoring guidelines to serve as reference source. Engage with colleagues in Model Risk Management for model validation exercises.
Provide leadership in researching, developing, implementing and testing behavioral models and stochastic income simulations within the QRM Risk Framework to enhance management of long-term earnings and liquidity risk of the consolidated organization.
Provide financial analysis and data support to other groups/departments across the Bank as required.
Provide tactical guidance and training to less experienced personnel regarding all aspects of data analysis and the construction of predictive statistical models.
Participate in Treasury Division projects and initiatives under guidance and direction of management. Present data, results and/or recommendations to Senior Management as necessary.
Conduct business in compliance with regulatory guidance including SR (Supervision and Regulation Letters) 10-1, SR 10-6, SR 11-7, Enhanced Prudential Standards, etc. Adhere to applicable compliance/operational/model risk controls and other second line of defense and regulatory standards, policies and procedures.
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.
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 position uses statistical programming languages to analyze Bank datasets and develop, implement and maintain behavioral models. 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. The position partners and collaborates with colleagues in related functions, including Asset Liability and Liquidity Management, Model Risk Management and business lines to implement and understand models for Bank use. The position may lead team-based projects related to model development or implementation.
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 business, data and statistical 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 behavioral modeling 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 behavioral modeling 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.
Minimum of 3 years’ statistical analysis programming experience.
Financial Risk Manager (FRM) or Chartered Financial Analyst (CFA) designation.
Fluency and high proficiency in econometric/statistical techniques, especially time-series analysis and logistic regression.
Experience in balance sheet management and mathematical modeling of financial instruments offered by banks.
Experience using QRM Risk Framework and pertinent prepayment models.
Knowledge and familiarity with key aspects of model risk management and model validation, including SR-11-7 guidance on model risk management.
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.