Sr. Quantitative Analyst

•Analyze credit risk valuation models, correlations, concentrations, rating migrations, and risk contributions

•Support the development of sector/industry risk assessment methodologies and quantitative measurement techniques for credit risk exposures and structured products

•Participate in development and execution of credit Economic Capital methodologies and Stress testing models for the Bank’s lending portfolio.

•Work with business line partners in embedding and socializing these models and support them with on-going requests

•Work with the quant team in the group to provide feedback on model development based on changes to portfolio both related to policy and performance

•Analyze portfolios both for commercial and retail to look at trends to support economic capital and stress test numbers

•Maintain large data sets using advance statistical/modeling tools and willing to pull datasets directly from source systems

•Work with appropriate parties to resolve or remediate data quality issues

•Maintain, review, and adhere to organization’s credit policy; verifying the integrity of the underlying data; constant monitoring and validation of the underlying theories and methodologies

•Support implementation of third party vendor solution tools for credit risk

•Prepare ad-hoc risk quantification projects at the request of management

•Participate in peer review sessions and maintain awareness of new advances in credit risk modeling techniques to ensure the application of best practices to CFG credit risk models

•Assure quality and leading-edge nature of work by helping to solve problems faced by others

Benefits - Full 
Relocation Assistance Available - Yes 
Bonus Eligible - Yes 
Interview Travel Reimbursed - Yes 

2+ to 5 years experience
Minimum Education - Master's Degree
Willingness to Travel - Occasionally

Skills and Certifications
Understanding of compliance and implications of Basel, FDIC, Federal Reserve regulatory frameworks 
Knowledge of statistical software packages; previous experience in data mining, demonstrated exper 
Knowledge of vended tools such as KMV Portfolio Manager, Risk Frontier, Risk Metrics, BondStudio, 
2-5 years of model validation experience in financial industry

Ideal Candidate

Candidate with a PHD and 3-5 years of Model Validation experience in a CCAR regulated financial institution

Ideal Candidate should have worked for the following company(ies):

Any CCAR Regulated financial instituion, or educational institution where a candidate has gained model development and validation experience


Location: Ma