Quantitative Analyst II - ALM Modeling (Hybrid)

This position is the senior level analyst in ALM Modeling team. Leads the measurement, reporting and management of Interest Rate Risk. Recommends improvements to current procedures, plans, and controls to achieve financial objectives, and assists in implementing recommended enhancements. The ALM Modeling team is responsible for the direction, development, and management of Treasury activities as pertaining to interest rate risk, analysis and reporting efforts to illuminate current and forecasted risk positions, and recommendation to manage or limit risk.

• Financial Support - Develop, maintain, and enhance Net Interest Income (NII) forecasting models, Earnings at Risk (EAR) and Economic Value of Equity (EVE) analysis for Asset Liability Management (ALM) using QRM. Evaluates the balance sheet's asset-liability risks for the recommendation of key indicator and limits. Assists with analysis and risk identification within products, markets, and client behavior.
• Assumption Analysis - Conduct sensitivity analysis on key assumptions to understand the limitations and weaknesses of key assumptions' impact on NII forecast outputs and perform in-depth attribution analysis to understand market/portfolio/model impacts. Provides robust statistical analytics to support portfolio modeling, assumption, pricing sensitivity, pricing studies.
• Business Support - Partner with modeling team to integrate and test behavioral models including deposit attrition and pricing models in QRM. Collaborate closely with Model Validation and Audit to facilitate the model validation and auditing process. Address validation and audit findings and incorporate industry best practices and regulatory guidelines.
• Reporting - Prepare reports to Asset Liability Committee (ALCO) and Senior Management Team. Produces reports based on data analysis, company trends, and financial processes.
• Peer Leadership - Assists management with the onboarding and training of new staff. Mentors less experienced staff, including review of daily output and coaching.

Bachelor's Degree and 4 years of experience in financial, statistical, or quantitative analysis experience OR High School Diploma or GED and 8 years of experience in financial, statistical, or quantitative analysis experience

Preferred Qualifications

• Hands-on experience with QRM and Hyperion systems.
• Experience with loans and deposits modeling and implementation.

Benefits are an integral part of total rewards and First Citizens Bank is committed to providing a competitive, thoughtfully designed and quality benefits program to meet the needs of our associates. More information can be found at https://jobs.firstcitizens.com/benefits.