Senior Treasury Quantitative Analyst

Overview:

Develops, implements, maintains and analyzes quantitative/econometric predictive models used for credit risk, interest rate risk and liquidity risk management, as well as balance sheet and capital planning. Provides independent contribution to team, including data analysis, model development efforts and ad-hoc analysis as appropriate. Provides guidance and direction to less experienced personnel.

Primary Responsibilities:

• Research and develop quantitative predictive models used for credit risk, interest rate risk and liquidity risk management, as well as balance sheet and capital planning, including but not limited to, loan delinquency, default and loss models, loan prepayment and utilization models, deposit attrition models and financial instrument valuation methods.
• Prepare, manage and analyze large customer loan, deposit and/or financial data sets for statistical analysis in Structured Query Language (SQL) or similar tool to properly specify and estimate econometric models to understand customer or Bank behavior for purposes of credit, interest rate, liquidity or stressed capital risk management. Understand the context of the Bank’s data and businesses to ensure properly developed models.
• Run regressions (including time series and logistic regression), programming routines and other econometric analyses to specify models using appropriate statistical software; communicate results, including graphic and tabular forms, to fellow team members, Treasury management and 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; communicate analytical results to Bank-wide stakeholders. Track portfolio performance, model performance, campaign tracking and risk strategy results. Incorporate observations and data into existing models to improve predictive results. Identify deviations from forecast/expectations and explain variances. Identify risk and/or opportunities.
• Develop and maintain satisfactory model documentation, including process narratives and performance monitoring guidelines to serve as reference source.
• Provide financial analysis and data support to other groups/departments across the Bank as required. Support engagements with colleagues in Model Risk Management for model validation exercises.
• Provide guidance and direction to less experienced personnel regarding all aspects of data and financial analysis and development and management of predictive statistical models.
• Conduct business in compliance with regulatory guidance including SR (Supervision and Regulation Letters) 10-1, SR 10-6, SR 11-7, Enhanced Prudential Standards, etc. Adhere to applicable compliance/operational/model risk controls and other second line of defense and regulatory standards, policies and procedures.
• 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.
• Promote an environment that supports diversity and reflects the M&T Bank brand.
• Maintain M&T internal control standards, including timely implementation of internal and external audit points together with any issues raised by external regulators as applicable.
• Complete other related duties as assigned.

Scope of Responsibilities:

The position serves as senior analyst in the use of statistical programming languages to analyze Bank datasets and develop, implement and maintain credit balance and loss forecasting models. It is important for the position to communicate with clear narratives, compelling data visualization and technical precision, both in-person and in writing, to enable audiences to understand analysis and forecasts. The position partners and collaborates with colleagues in related functions, including Credit Risk Management, Asset Liability and Liquidity Management, Model Risk Management and business lines to develop, implement and understand models for Bank use. The position may lead team-based projects related to model development or implementation. This role is highly technical in nature and requires demonstrated attention to detail, execution and follow-up on multiple initiatives with Treasury and across the Bank. The ability to identify, analyze, rationalize and communicate complex business, data and statistical problems and recommend corresponding solutions is a key factor of success in this role.

Education and Experience Required:

Bachelor’s degree and a minimum of 2 years’ proven quantitative behavioral modeling experience, or in lieu of a degree, a combined minimum of 6 years’ higher education and/or work experience, including a minimum of 2 years’ proven quantitative behavioral modeling experience

Minimum of 2 years’ on-the-job experience with pertinent statistical software packages (SAS, Python, Stata, R)

Minimum of 2 years’ on-the-job experience with data management environment, such as SQL Server Management Studio

Minimum of 2 years’ experience analyzing large data sets and explaining results of analysis through concise written and verbal communication as well as charts/graphs

Education and Experience Preferred:

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 3 years’ statistical analysis programming experience

Financial Risk Manager (FRM) or Chartered Financial Analyst (CFA) designation

Fluency and high proficiency in econometric/statistical techniques, especially time-series analysis, panel data methods and logistic regression

Experience in balance sheet management and mathematical modeling of financial instruments offered by banks

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

Demonstrated leadership skills

Strong desire to learn and contribute to a group

Location