This senior analyst will be a member of the Bank's Enterprise Risk Monitoring and Analytics (ERMA) team whose duties will focus on developing risk analytics models, interest rate risk models and other forms of stress testing. This position reports to Asset Liability Manager/ Quantitative Risk manager. Key responsibilities include interest rate risk reporting, funds transfer pricing reporting, loan prepayment back-testing, non-maturing deposits decay modeling, model validation, researching new methodologies, and reporting model results in a timely manner. This position will have exposure to the full range of quantitative modeling activities performed by the ERMA team including credit risk, liquidity risk, and interest rate risk analytics.
Major Accountabilities/Essential Duties:
This role supports the ALM manager in model development activities and measurement of interest rate risk on monthly basis.
Performs periodic back-testing procedures to validate model assumptions and maintains documentation in support of ALM assumptions.
Researches and collects data relevant to stress testing and financial risk analysis to assist in the development of new models and methodologies.
Collaborates with other members of the ERMA team in variety of projects including models related to credit loss, net income, and other forms of income and expense.
Researches best practices and new methodologies for risk modeling and present the strengths and weaknesses of these alternative methodologies to senior management and the modeling team.
Properly stores and manages data used in risk models.
Thoroughly documents all steps in the modeling process and ensures that the documentation complies with model governance requirements.
Participates in model validation and diagnostic testing of models used in stress testing and risk analytics
Analyze commercial and consumer portfolio migrations based on custom credit methodologies.
Create migration matrices based on internal scoring information and historical charge off and delinquency analysis.
Determine key macroeconomic factors affecting migration of loans from accruing to non-accruing states.
Provide forecast on transition of loans from accruing to non-accruing state default and recovery.
Using QRM or other vendor software implement best approach to predict non-accruals, charge offs, and recovery based on given economic scenario.
Actively participate in CECL implementation.
Learns about and contributes to risk modeling across all of the domains of financial risk.
Ensures that all reporting of model results is completed in a timely manner and is subjected to a rigorous quality review process. Reviews results of models for accuracy and reasonableness prior to presenting them to senior management.
Understands the risk models that the Bank currently employs and explains how these models work to a wide range of audiences.
Proactively explores and recommends potential improvements to risk models and the risk measurement process to Senior Management.
Develops and enhances models for forecasting loan prepayments and deposit behavior.
Collaborates with other members of the ERMA team in developing and validating models in support of stress testing and other forms of financial risk.
Performs other analysis and research assignments as directed.
Performs all other job duties as assigned by supervisor.
Maintains documentation as required.
Rabobank, N.A. employees must act responsibly with regard to possible and identified risks to the organization in performing their work duties and managing these risks. Employees are expected to adhere to and support a strong risk and compliance culture with awareness of risks and everyone's contribution to risk management and protecting Rabobank's reputation.
Bachelor's degree required, preferably in a quantitative field (e.g., Economics, Finance, Mathematics, Statistics) with a minimum of 7 years related data management, financial and/or investment analysis experience required; or equivalent combination of education and experience.
An advanced degree in a quantitative field and/or a professional certification (CFA, FRM, PRM) is a strong plus.
Minimum 3 years' experience with financial modeling; experience with behavioral modeling is especially useful.
Experience with Asset/Liability management system (i.e., QRM, Bancware, Sendero, etc.) is preferable.
Advanced skills in Microsoft Excel (including VBA) and SQL are required.
Experience with model documentation and validation is preferred.
A demonstrated ability to communicate the core concepts of quantitative modeling to stakeholders across the Bank and to incorporate their feedback into the modeling process is preferred.
Previous exposure to the modeling and measurement of at least two of the major forms of financial risk (credit risk/counterparty risk, liquidity risk, IRR/ALM risk, and market risk) is a strong plus.
Exemplary motivation, enthusiasm, and professionalism.
Exhibit high degree of professionalism and confidentiality in handling and having access to sensitive information.
Able to work effectively without direct supervision.
Able to comprehend and interpret Bank policies and procedures.
All qualified applicants will receive consideration for employment without regard to race, color, religion, sex, sexual orientation, gender identity, national origin, genetics, disability, age, or veteran status.