Quantitative Analyst

Role Summary: Provides analytical, modeling and programming support for the development and implementation of quantitative risk management methodologies for estimating and assessing capital requirements for operational, credit, market and other risk types in support of both U.S. and international (Basel II) regulatory compliance, as well as other economic capital assessment and allocation goals.
Representative Duties: With a minimum of oversight and supervision-
? Conducts risk analysis and modeling projectst.
? Acts as subject matter expert on cross-functional working groups/ teams to quantify risk exposure.
? Participates in new risk modeling methodology development and implementation.
? Works with business areas to utilize quantitative based risk management methods in measuring risks.
? Conducts analysis using internal credit exposure and operational loss database. Defines scope of data required to provide thorough and accurate data interpretation and implementation.
? Evaluates existing risk measurement methodologies and presents results and recommendations to management.
? Designs users acceptance tests with programmers.
? Completes special projects as directed by management.
Typical Experience:
? Advanced degree in economics, finance, applied math or a hard science (physics, engineering, etc.), Ph.D. preferred.
? Minimum 6+ years of related experience in relevant applied modeling techniques.
? Excellent quantitative modeling, analytical, research and programming skills (C++, SAS, Matlab).
? Strong communication skills.
? Good project management skills.
? Knowledge of financial markets and products.
? In-depth understanding of credit risk methodologies (KMV, CreditMetrics, etc.) highly desirable.
? Ability to work independently on multiple tasks and/or projects.
? Detail oriented.
Advance to next level:
? Demonstrated ability to evaluate and manage the implementation of most complex quantitative modeling and model integration projects.
? Superior knowledge of Basel, SR99-18 and economic capital issues as they relate to SSB businesses.
? Superior ability to interact with quantitative unit's users
? Excellent project management skills


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