Quantitative Expert

Quantitative Expert

Requirements

• Bachelor’s degree and a minimum of 6 years’ proven quantitative behavioral modeling experience, or in lieu of a degree, a combined minimum of 10 years’ higher education and/or work experience, including a minimum of 6 years’ proven quantitative behavioral modeling experience
• Minimum of 6 years’ on-the-job experience with pertinent statistical software packages (SAS, Python, Stata, R)
• Minimum of 6 years’ on-the-job experience with data management environment, such as SQL Server Management Studio
• Minimum of 6 years’ on-the-job experience analyzing large data sets and explaining results of analysis through concise written and verbal communication as well as charts/graphs

Responsibilities

• Lead research and development of quantitative predictive models used for credit risk, including but not limited to, loan delinquency, default and loss models, cashflow models, and financial instrument valuation methods.
• Prepare, manage and analyze large customer loan, deposit or financial data sets for statistical analysis. Understand context of the Bank’s data and businesses to ensure properly developed models.
• Apply statistical software to create models of the appropriate form for the business purpose identified, including time series and logistic regressions, survival analysis, and machine learning. Communicate results to Bank-wide stakeholders, including the business lines and Risk Management colleagues to demonstrate key risk drivers and dynamics of model output.
• Execute models in production environment; track model performance and communicate analytical results to Bank-wide stakeholders. Identify deviations from forecast/expectations and explain variances. Identify risk and/or opportunities. Incorporate observations and data into existing models to improve predictive results.
• Develop, maintain, and manage robust model documentation.
• Lead engagements with Model Risk Management for model validation exercises.
• Serve as lead in managing modeling projects and initiatives under guidance and direction of management. Present data, results and/or recommendations to Senior Management as necessary. May lead teams on a project basis, providing performance feedback to management as appropriate.
• Provide guidance and direction to less experienced personnel regarding all aspects of data and quantitative analysis and the development and management of predictive statistical models.
• Understand and adhere to the Company’s risk and regulatory standards, policies and controls in accordance with the Company’s Risk Appetite. Identify risk-related issues needing escalation to management. Adhere to applicable compliance/operational/model risk controls and other second line of defense and regulatory standards, policies and procedures.
• Promote an environment that supports diversity and reflects the M&T Bank brand.
• Complete other related duties as assigned.

Preferred Qualifications

• Masters’ of Science or Doctorate degree in statistics, economics, finance or related field in the quantitative social, physical or engineering sciences, with proven coursework proficiency in statistics, econometrics, economics, computer science, finance or risk management
• Minimum of 8 years’ statistical analysis programming experience
• Fluency and high proficiency in statistical techniques, especially time-series analysis, logistic regression, survival analysis, and machine learning.
• Knowledge and familiarity with key aspects of model risk management and model validation, including SR-11-7 guidance on model risk management
• Proven track record for being able to work autonomously and within a team environment
• Proven leadership skills
• Strong desire to learn and contribute to a group
• Previous experience leading and directing the work of less experienced personnel