Senior Analyst

Key Skills: Statistical Modelling, MySQL, Machine Learning, Model Development

Roles and Responsibilities:

• End-to-end development and governance and support of models in treasury/IRRBB space.
• End-to-End model development includes econometric forecasting models for key Balance sheet and income statement line items for capital and business planning purposes. This includes the calculation of Net Interest Income (NII), Non-Interest Revenue (NIR), Interest Rate Exposure (IRE), Economic Value Sensitivity (EVS), and other associated interest rate risk metrics.
• Applies analytical thinking and knowledge of statistics / modeling / data analysis tools and methodologies. Gives attention to detail when making judgments and analytical recommendations based on the analysis of information. Typically deals with variable issues with potentially broader business impact. Applies professional judgment when interpreting data and results.
• Model governance and support includes reviewing and timely submission of model documentations such as - Model development document (MDDs), Annual Model Review (AMRs), Ongoing Performance Assessment (OPAs), Model Change Addendum (MCAs), Limitation Record Change (LRCs) to Model Risk Management and other stakeholders.
• Develop and maintain a comprehensive modeling system that maintains consistent approach to data quality and modeling methods, audit, back test, tracking, annual validation which is critical in reducing the model operating risk.
• Must be able to present technical matters in a way that is meaningful to the audience and align with Model Risk Management on modeling and validation practices and have periodic check-ins with them.
• Ability to build key relationships with finance and business teams ability to influence people and empower team members to be proactive and focused on partnerships and results.
• Create a culture of accountability and strict quality control of the data integrity and modeling processes.

Skills Required:

• 6-8 years of relevant statistical modeling /econometrics experience in financial domain
• Experience in developing econometric models and deep understanding of statistical techniques such as Linear Regression, Logistic Regression, Time Series, Panel Regression, Error Correction Models, Seemingly Unrelated regression and Cointegration and Machine Learning Techniques, etc.
• Working experience with Artificial Intelligence/Machine Learning techniques and packages (ChatGPT, Copilot) etc.
• Hands-on experience in programming and modeling using Python and related packages (GitHub, DataFlame) is must. Working knowledge of statistical packages like SAS/R is a plus.
• Experience with SQL and databases. Experience in excel VBA is plus.
• Domain knowledge and experience in PPNR, Fixed Income Securities, Mortgage Modeling, Deposit Modeling, Asset Liability Management, Interest Rate Risk, Capital Planning, etc. Broad understanding of financial products, accounting principles, investment, accrual products and corporate finance concepts
• Excellent presentation skills, ability to translate complex financial schedules into meaningful presentations is critical; demonstrated analytical skills including the ability to synthesize quantitative and qualitative data to draw conclusions and assist on decision making
• Ability to build key cross functional and cross business relationships.
• Assume informal leadership roles within team and team management skills and ability to managing multiple projects and deadlines.

Education: PG / Masters / PhD in quantitative discipline such as Statistics, Economics, Mathematics, or related discipline is preferred. Certifications such as FRM, CFA is a plus