Balance Sheet Management Modeling - Analyst

The Balance Sheet Management Analyst is a professional role. The Analyst is expected to apply in-depth disciplinary knowledge, contributing to the development of new methodologies (statistical and non-statistical), data processing, visualization and analysis tools and approaches, and the improvement of processes and workflows for the Balance Sheet Management function.

Description

The Balance Sheet Management modeling group is responsible for developing statistical and non-statistical methodologies. The Analyst will be responsible for end-to-end development of statistical models covering such asset classes as Deposits or Fixed Income Securities, or particular functions such as Asset Allocation strategy. As part of those responsibilities, the Senior Analyst would be expected to demonstrate analytical skills in the design and implementation of models, strong communication skills in documenting and presenting their work, stakeholder management and interaction skills allowing the analyst to clearly and efficient understand requirements and develop a model or approach to meet those requirements.

For non-statistical modeling projects / tasks, the Analyst would be required to integrates subject matter and industry expertise within a defined area. Demonstrate good analytical skills in order to filter, prioritize and validate potentially complex and dynamic material from multiple sources. Regularly assume informal/formal leadership roles within teams.

In this role, you’re expected to:

• Development of econometric forecasting models for key Balance sheet and income statement line items for capital and business planning purposes. This includes the calculation of Net Interest Income (“NII”), Non Interest Revenue (“NIR”), Interest Rate Exposure (“IRE”), Economic Value Sensitivity (“EVS”), and other associated interest rate risk metrics.

• Deep understanding of statistical techniques such as Logistic Regression, Panel Regression, Error Correction Models, Seemingly Unrelated regression and Cointegration

• Steering stakeholder conversations with Businesses, Finance, Treasury and Risk to seek their sign-offs on Champion models.

• Manage the Segmentation, Risk Identification, overlay discussions with Businesses and Finance teams.

• Responsible for reviewing and timely submission of Model development documentation (MDDTs) to Model Risk Management.

• Align with Model Risk Management on modeling and validation practices and have periodic check-ins with them.

• Create a culture of accountability and strict quality control of the data integrity and modeling process

• Develop and maintain a comprehensive modeling system that maintains consistent approach to data quality and modeling methods, audit, back test, tracking, annual validation.  This is critical in reducing the model operating risk

• Ability to build key relationships with finance and business teams

• Must be able to present technical matters in a way that is meaningful to the audience

• Ability to influence people and empower team members to be proactive and focused on partnerships and results

As a successful candidate, you’d ideally have the following skills and exposure:

• Masters / PhD in quantitative discipline such as Statistics, Economics or related discipline

• Experience in Fixed Income Securities, Mortgage Modeling, Deposit Modeling, Asset Liability Management, Interest Rate Risk, Capital Planning

• Experience in developing econometric models

• Extensive hands-on experience in programming and modeling using SAS and/or Python, or extensive experience with databases.

• Excellent presentation skills; the ability to translate complex financial schedules into meaningful presentations is critical; demonstrated analytical skills including the ability to synthesize quantitative and qualitative data to draw conclusions and assist on decision making

• Ability to build key cross functional and cross business relationships

• Broad and deep understanding of accounting principles, investment, accrual products and corporate finance concepts

• Demonstrated leadership and team management skills and ability to managing multiple projects and deadlines

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