Senior Treasury Quantitative Analyst

Mnbankandtrust

New York, NY, USA
Base: $112,778.00 – $122,402.00 py; bonus/equity: ...
Sas r python or matlab modeling
Credit interest rate liquidity risk models
Sql data extraction and analysis
The role involves developing and executing quantitative behavioral models for credit, interest rate, and liquidity risk management

Job Summary

  • The role involves developing and executing quantitative behavioral models for credit, interest rate, and liquidity risk management.
  • Candidates must possess strong skills in SAS, R, Python, or MATLAB to implement complex statistical models on large financial datasets.
  • The position requires strict adherence to regulatory guidance including SR 10-1, SR 10-6, and SR 11-7 while collaborating with audit teams.

Matching Summary

The role involves developing and executing quantitative behavioral models for credit, interest rate, and liquidity risk management.

Salary

Base: $112,778.00 – $122,402.00 per year; Bonus/Equity: Not specified; Benefits: Not specified

Skills & Requirements

Must-have

  • SAS R Python or MATLAB modeling
  • Credit interest rate liquidity risk models
  • SQL data extraction and analysis
  • Loan delinquency and default modeling
  • Model performance testing and validation
  • Regulatory compliance SR 11-7 adherence

Nice-to-have

  • Experience with balance sheet planning
  • Ability to explain variances to stakeholders
  • Guidance for less experienced personnel
  • Knowledge of financial instrument valuation

Key Requirements

  • Master's degree in Statistics Economics Finance or related field
  • Two years of experience in quantitative modeling or model risk
  • In-office work four days per week required

Work Rights

Not specified

Tailored Resume

Cover Letter