Quantitative Modeler Manager (Commercial Loans) - Charlotte, Minneapolis, Cincinnati, New York

US Bank Cincinnati , OH 45201

Posted 1 week ago

At U.S. Bank, we're passionate about helping customers and the communities where we live and work. The fifth-largest bank in the United States, we're one of the country's most respected, innovative and successful financial institutions. U.S. Bank is an equal opportunity employer committed to creating a diverse workforce. We consider all qualified applicants without regard to race, religion, color, sex, national origin, age, sexual orientation, gender identity, disability or veteran status, among other factors.

Corporate Treasury is a division within the CFO group where part of their responsibility is to provide executive management with accurate, timely, and comprehensive forecasts of the balance sheet and net interest income (NII). Another critical Treasury function is the measurement and analysis of Interest Rate Risk (IRR) using various methods. This information provides the framework that allows the company to position its balance sheet consistent with its risk appetite and expectations for changes in interest rates. Corporate Treasury's Strategic Asset & Liability Modeling group supports these efforts by developing quantitative methodologies and models used in a variety of macroeconomic forecast environments.

Corporate Treasury's Strategic Asset & Liability Modeling group is seeking a strong, decisive, result-oriented leader who will manage a team of analysts responsible for creating, validating, testing, documenting, implementing, and/or overseeing usage of complex statistical models. The models may cover a variety of products or services; however, all models are used as part of the financial decision-making process. Specific results focus on documenting the creation and/or testing of advanced statistical models and communicating such models to stakeholders across the Bank. The primary deliverables for the team include the creation of model development and/or validation documentation such as: presentations, written reports, model or reporting code documentation, business requirements, monitoring reports and related code, and procedures. The role is highly technical and requires significant interaction with regulators (OCC and FRB) along with the ability to explain complex items in a straight forward manner.

Basic Qualifications

  • Bachelor's degree in a quantitative field, and 10 or more years of experience in statistical modeling

OR

  • MA/MS/PhD, and six or more years of experience in statistical modeling

Preferred Skills/Experience

  • Advanced knowledge of various regression techniques, parametric and non-parametric algorithms, times series techniques, and other statistical models, various model validation tests/methodologies, using SAS, Python, R, or other similar statistical packages

  • Advanced data compilation, programming skills and qualitative analysis skills

  • Thorough knowledge of the quantitative and qualitative risk factors, industry risks, competition risks, and risk management approaches

  • Thorough knowledge of applicable regulatory rules, guidance, or supervisory letters

  • Experience modeling revolving lines of credit and loan balances

  • Experience modeling loan prepayments and defaults

  • Experience with interest rate risk and comprehensive capital risk

  • In-depth knowledge of Bank products and services

  • Demonstrated independence, teamwork, and leadership skills

  • Strong analytical, organizational, problem-solving, negotiation, and project management skills

  • Excellent interpersonal, verbal, and written communication skills

  • Has had an ownership role in all phases of large complex model development projects and associated independent validations from beginning to end

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Quantitative Modeler Manager (Commercial Loans) - Charlotte, Minneapolis, Cincinnati, New York

US Bank