Director, Quantitative Analysis & Financial Modeling

Director, Quantitative Analysis & Financial Modeling

Job Summary:

The Director, Quantitative Analysis & Financial Modeling will lead the development and management of quantitative models for interest rate, market risk, and liquidity risk. This role will manage regulatory compliance with OCC/FRB/FDIC, fair value valuation, balance sheet policies, working with risk, internal audit, external vendors, and communicating effectively with senior management.

Job Responsibilities:

Model Development and Quantitative Analysis

Lead the development of new quantitative models and analytic processes.

Validate existing models to ensure accuracy and compliance with regulatory standards.

Set quantitative work priorities in alignment with the bank’s growth strategy.

Own and develop quantitative analysis projects covering a variety of balance sheet risks such as credit, interest, and liquidity risks.

Conduct market risk stress testing, including scenario design and implementation.

Analyze stress scenario results to identify key risk drivers and inform balance sheet growth decisions.

Create and maintain technical documentation to ensure internal and external audit requirements.

Financial Valuation

Conduct the valuation of agency and non-agency securities, second-line equity, and credit facilities.

Conduct thorough analyses to determine the fair value of various financial instruments and assets.

Balance Sheet Policy and Metrics Management

Own and update balance sheet policies to ensure alignment with regulatory requirements and organizational goals.

Collaborate with relevant departments to integrate policy changes effectively.

Provide governance around Credit, IRR and Liquidity metrics.

Regulatory Experience

Ensure compliance with regulatory standards and requirements in all quantitative modeling activities.

Liaise with regulatory bodies (OCC/FRB/FDIC) and participate in audits and reviews.

Continuous Improvement

Identify areas for improvement in model development and reporting processes.

Implement changes to enhance efficiency and effectiveness of quantitative analysis.

Leadership, Mentorship and Communication

Influence quantitative roadmap and own its execution.

Work closely with technology teams to design systems for running developed models.

Communicate model outcomes and results to stakeholders and senior management.

Provide methodological, analytical, and technical guidance to analysts.

Foster a culture of continuous improvement and accountability within the team.

Prepare and deliver presentations to committees, including senior management and board members.

Clearly communicate complex quantitative findings and strategic recommendations.

Appropriately identifies and assesses risk when business decisions are made, including but not limited to compliance and operational risks.

Demonstrates consideration for client’s reputation as well as our clients, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behavior, conduct and business practices, and escalating, managing and reporting control issues.

Job Requirements:

Master’s degree in finance, Economics, Mathematics, or a related field

CFA or FRM designation a plus.

10+ years of experience in quantitative analysis and financial modeling with a proven ability to build capabilities.

Demonstrated hands-on experience of A/L system such as QRM, MIAC, Empyrean, Polypath a plus.

Proven track record in policy management and first-line governance, with experience working with second and third lines to ensure regulatory compliance.

Deep knowledge of valuation techniques for various financial instruments.