Quantitative Capital Management Lead / Remote

Quantitative Capital Management Lead / Remote

23 Dec 2021
Nebraska, Omaha / council bluffs, 68147 Omaha / council bluffs USA

Quantitative Capital Management Lead / Remote

Vacancy expired!

Job Title : Quantitative Capital Management Lead
Location : Omaha, NE/ Remote
Duration : 6 months

Job Description:
Description and Responsibilities Client is seeking a full-time Quantitative Capital Management Lead consultant to work with our client in Omaha, NE.

We are seeking a Quantitative Capital Management Lead who has demonstrated the ability to evolve a comprehensive portfolio risk modeling framework (e.g., for stress testing, CECL, RAROC, ALM, etc.), who has led the development and implementation of such frameworks, and who has proven an aptitude for communicating model results in a meaningful way to a variety of audiences.

This teammate will provide program management, will mentor others, and will enhance multifaceted models and systems. Models for capital management forecast and set reserves for credit losses (Allowance for Loan and Lease Losses), tie to financial planning and scenario analyses (Stress Testing), assess capital adequacy (Economic Capital), and enable diversification tactics (RAROC). The Quantitative Capital Management Lead will work with teams, senior leaders, and committees across the association to foster an effective program. Further, the lead will rely on modern and advanced techniques found in statistics, machine learning, quantitative finance and similar fields to conduct their work.

Qualifications Essential

  • Bachelor's Degree in Mathematics, Statistics or Economics (or equivalent)
  • 6 years enterprise risk management, (investment) portfolio management, or asset-liability management.
  • 3 years leading projects
  • 5 years Developing and implementing models for these purposes
  • Strong statistical acumen with in-depth knowledge of risk modeling. Experience with statistical programming languages such as R, Python, SAS, etc.
  • Strong computer literacy and proficiency in data querying tools (e.g., SQL, SAS, etc.)

Primary Responsibilities:
    • Program Management
      • Manage a collection of projects under the quantitative capital management program to help achieve the team's mission. Prioritize projects tied to the program, plan for their execution, and provide daily oversight to make project choices that impact the program. Recommend changes in project scope or objectives to the VP-Risk Forecasting & Decision Sciences.
      • Ensure consistent rigor and quality in model development, validation, implementation, and maintenance for projects tied to the program.
      • Make certain that all program models are built and operate in accordance with the
Association's model governance framework
      • Mentor and guide teammates working projects tied to the program

    • Quantitative Capital Management
      • Lead the improvement and support of the team's suite of models designed for capital management, including allowance for loan and lease losses, stress testing, economic capital and risk-adjusted return on capital. Results for these parent models stem from forecasts, scenario analyses, and simulations conducted on a common set of component models (i.e., those listed below) requiring enhancements and maintenance. The lead will ensure that component models function across parent models and that parent models operate in coherence.
      • Probability of Default (PD) & Migration
      • Loss Given Default (LGD)
      • Utilization
      • Prepayment
      • Growth
      • Interest Rate Forecasts

    • Lead development and implementation efforts on models designed for capital management.
    • The incumbent will gather and meet business requirements, construct applicable and accurate development datasets, and explore, estimate, and test alternative approaches in order to set methodology.
    • Make certain that independent and effective validation for conceptual soundness takes place prior to model implementations and establish ongoing monitoring routines and outcomes analyses.
    • Good written and spoken communications skills in English and thought-leadership skills.

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