Quantitative Analyst II (Hybrid)

This position will be responsible for developing and maintaining the firm's Loan Models and Loan Modeling Framework (Funded, Unfunded, Attrition/Runoff). This role is responsible to design and develop pre-provision net revenue (PPNR) loan forecasting models used in bank stress testing (CCAR) and in Business as Usual (BAU) forecasting processes. This role will be responsible for establishing a fit-for-purpose models, with strong governance, analytics and documentation that aligns to SR 11-7 and SR 15-19. This is an individual contributor role that over time will grow in responsibility.

• Data Analysis - Applies sophisticated analytics to assess future risk, opportunities, and effectiveness and translates results into meaningful solutions to improve decision making in model development.

• Model Development - Responsible to build and own new and existing loan forecasting models which cover total balance, commitment, unfunded, funded, attrition/runoff and prepayment model components. Align model segmentation to business expectation, credit loss forecast team.

• Business Support - Work with business and CCAR/ALM stakeholders on the development and enhancement of models. Coordinate data submission and validation processes and supports production of CCAR and/or IRR. Collaborates with model validation, Credit Team, data team, other modeling teams and audit to review and analyze results.

• Reporting - Updates documentation and procedure to make sure the group's processes such as stress testing and BAU forecast are up to date and model development documentation is aligned to FCB MRM policy, SR 11-7 and SR 15-19. Maintains the process flows updated and executes operational/governance controls.

• Process Improvement - Identifies potential improvements to current procedures, plans, and controls to achieve business objectives and regulatory requirements.

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:

• Master's degree in statistics, economics, econometrics, applied mathematics, quantitative finance or related field.
• CFA is preferred.
• 5+ years of relevant business/academic experience in Quantitative modeling and model development, model implementation, or model validation experience.
• 3+ years of related experience in a Commercial Bank, including quantitative modeling, behavioral modeling, and database development.
• Knowledge in statistical modeling techniques such as model forecasting and statistical modeling approaches such as linear/logistic regression model, time series, and error-correction models, GARCH (OLS, VAR, Cointegration, etc.)
• Ability to program in statistical/mathematical programs such as SAS, R, Python, or other data analytics (e.g. SQL) or quantitative libraries.
• Prior experience at CCAR filing institution or Large Financial Institution (LFI) presenting to regulators, model validators and auditors modeling methodology and model development decisions and documentation.

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.