Svp, Quantitative Modeling

Basic Qualifications:

• Master degree in mathematics, economics, finance, or related disciplines, or commensurate work experience required; PhD or other advanced degree in a quantitative or economics discipline preferred.

• Minimum of seven (7) years of increasingly responsible work experience in financial and business analysis, econometric modeling, and/or stress testing, or related fields, required.

• Demonstrated management experience, including direct supervision of quantitative teams, required.

• Prior work experience leading complex quantitative projects/programs required.

• Prior work experience preparing deliverables for management committees and corporate boards required.

• Prior work experience with a financial institution in excess of $20 billion in total consolidated assets and direct exposure to DFAST model development processes, program development, and related governance preferred.

• Prior work experience with CCAR-related models, programs, and governance preferred.

• Prior work experience with function/process design, implementation, and change management related to the build of a quantitative risk team preferred.

Job Purpose and Scope:

Responsible for leading and/or overseeing the development and remediation of quantitative models used to measure and inform risk activities for finance, lending, operations, and other functional business units. The models quantify credit risk, inform loan and deposit pricing strategies, provide early identification of trends in compliance activities, and support other areas of the Bank where predictive or analytical models inform and improve business performance. The Bank also utilizes risk quantification and modeling to influence strategic decisions by executive management and the board of directors, and drive compliance with the various regulatory directives under the Dodd-Frank Act, Basel III, and CRE Portfolio Stress Testing requirements. Collaborates with various functional areas of the Bank, specifically those related to analytics.

Essential Job Functions:

• Leads development and knowledge transfer for models deployed to perform stress analyses in accordance with regulatory guidelines (DFAST, Basel III, CCAR, and other Federal regulations for large banks that may apply now and in the future).

• Periodically evaluates and enhances existing models to maintain their relevance and adherence to current regulatory requirements.

• Assists with implementation, training, and knowledge transfer for internally developed and vendor models used by the Bank.

• Identifies, analyzes, and remediates data required to develop quantitative models and/or identifies alternative approaches when there are data constraints.

• Develops, executes, and maintains quantitative tools and econometric models to measure risks to earnings and capital on the company's current position and forecasts.

• Designs, develops, implements, and operates an economic capital allocation model.

• Contributes to the development of unique (idiosyncratic) stress scenarios tailored to the current operation of the company.

• Understands, measures, and analyzes the impact on liquidity under government-mandated and idiosyncratic scenarios.

• Collects, prepares, and implements relevant asset-liability management data and economic assumptions used in analyses and modeling for documentation and presentation.

• Assists management with the statistical analysis of prepayment speeds of assets and decay of deposits.

• Collaborates and consults with the senior management on the development of scorecard models that assign Probability of Default (PD) and Loss Given Default (LGD) for consumer and commercial loans.

• Consults with the lines of business to develop optimization models for the pricing of products and services.

• Consults with appropriate business leaders to develop analytical and predictive models related to compliance with high-risk laws and regulations (including those under the purview of the Consumer Financial Protection Bureau), and performance under the Community Reinvestment Act.

• Performs ad hoc analyses as needed by management.

• Leads the implementation planning and execution of models and collaborates with stakeholders on the implementation of models.

• Participates in and provides information for discussions with regulators, independent public accountants, and consultants on current quantitative processes, related outputs and analyses, and business assumptions.

• Makes recommendations for enhancing financial performance, including growth, and efficient capital allocation various scenarios and risk trade-offs.

• Communicates results of work and recommendations for improvements or enhancements effectively to all levels of management.

• Identifies, recruits, selects, and manages a team of high caliber analysts and modelers skilled in the development of analytical and predictive models with a solid understanding of advanced quantitative methods.

• Mentors and trains Quantitative Modelers, as necessary.

• Travels for business purposes, as needed.

• Regularly exercises discretion and judgment in the performance of essential job functions.

• Maintains good punctuality and attendance to work.

• Follows Bank policy, procedures, and guidelines.

• Performs other duties as may be required.

Knowledge, Skills & Abilities:

• Comprehensive technical knowledge of financial and econometric models.

• Comprehensive knowledge of interest rate risk components such as internal rate of return (IRR), economic value of equity (EVE), duration, risk-adjust rate of return (RAROC), among others.

• Knowledge of Dodd-Frank Act Stress Test (DFAST), Comprehensive Capital Analysis and Review (CCAR), and other stress testing and capital management protocols.

• Knowledge of bank operations, including finance and treasury, credit, sales and support operations, trust and asset management, regulatory compliance, and general business principles.

• Knowledge of DFAST requirements, including modeling requirements, scenario analysis, and reporting.

• Knowledge of enterprise risks, including credit, financial (market and interest rate), operational, and legal and compliance.

• Knowledge of generally accepted accounting principles.

• Ability to design and apply complex financial models and quantitative tools to solve business problems.

• Ability to transform business data into strategic business intelligence for use in problem-solving and statistical analyses.

• Ability to demonstrate effective quantitative, analytical, technical, and problem-solving skills.

• Ability to demonstrate effective interpersonal skills, work in a team environment and build cross- functional relationships.

• Ability to communicate effectively both verbally and in writing.

• Ability to interact with a variety of management levels and to shift effectively between a detailed and a big picture focus.

• Ability to produce "Board quality" documents, presentations, and analyses.

• Ability to lead and mentor others.

• Ability to travel for business purposes.

• Skill in SAS, R, SQL, Python, Tableau, or other programming languages.

• Skill in using computer and Microsoft Office, including Word, Excel, Access, PowerPoint and Outlook.

Job Expectations: Operate customary equipment and technology used in a business environment, with or without accommodation.

Note: This description is not an exhaustive list of all job functions, duties, skills and job standards required. Other job functions, duties, skills, and standards may be added. Management reserves the right to add or change the job requirements at any time.

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