Financial Assets Modeler Sr
Company: Flagstar Bank
Location: New York
Posted on: October 25, 2024
Job Description:
A Senior Financial Assets Modeler is responsible for leading the
design, build and operation of compliant quantitative models and
producing analytics for current expected credit loss ("CECL"),
macroeconomic scenarios ("Stress Testing"), and portfolio ("Loan
Concentration") credit risk. Design and assist with the integration
of all applicable inputs, outputs, calculations and analytics
required by the Assets and Liabilities Management ("ALM") and the
Allowance for Loan and Lease Losses ("ALLL/CECL") models.
Responsible for working under the direction of the Financial
Modeling and Analytics Manager Sr. with a minimum amount of
direction. The scope of model design and operation includes
development, enhancement, maintenance, and execution of statistical
and cash flow models; design, creation, testing and reporting of
macroeconomic scenarios; support for governance, benchmarking,
management, validation, and regulatory reporting pertaining to
quantitative models; and the development, enhancement, maintenance,
and execution of production control procedures within the
integrated ALM/CECL/Stress Testing model frameworks. A Senior
Financial Assets Modeler is responsible for maintaining the skills
and knowledge relevant to their assigned job responsibilities. In
addition, the Modeler promotes and advocates the adoption of
appropriate new methodologies for quantitative models and analysis
that benefit the Bank. Provides assistance with identifying and
designing quantitative solutions to problems as presented by
management to further the Bank's strategic plans. This role may
provide coaching or mentoring to other members of the
department.
- Performs extensive data analysis in support of financial
planning, stress testing and reporting.
- Develops, tests, and documents internally developed
quantitative models and analytics, including complex financial,
econometric, and statistical frameworks primarily focused on risk
management and financial reporting.
- Implements, tests, and documents externally developed and/or
licensed models.
- Assists with the integration of models within the FMA
Department and amongst other Bank departments to ensure consistency
and accuracy across all model outputs.
- Develops, tests, and documents complex model execution
procedures and controls to be run in an audited, production
environment.
- Develops, tests, and documents procedures and controls for
executing external, third-party models.
- Assists with the development and implementation of routine
analytics and reports.
- Utilizes industry standard quantitative software, data science
programming languages, database systems, and workstation
productivity applications to produce required deliverables.
- Assists with the creation of management and regulatory reports
containing descriptions of the development, testing, validation and
execution of quantitative modeling and analytic outputs.
- Ensures compliance with model governance policies and
procedures as an integrated feature of all quantitative modeling
and analytic activities.
- Performs model governance procedures including the execution of
required production controls; model, data and procedure version
control; and end-user computing policies and guidelines.
- Assists with the analysis and documentation of Management,
Internal Audit, Enterprise Risk Management and Regulatory findings
and requirements.
- Assists with departmental cross-training and knowledge transfer
to minimize staffing risk and promote effective communications.
ADDITIONAL ACCOUNTABILITIES
- Performs special projects, and additional duties and
responsibilities as required.
- Consistently adheres to regulatory and compliance policies and
standards linked to the job as listed and complete required
compliance trainings. - Accountable to maintain compliance with
applicable federal, state and local laws and regulations.
Required Qualifications:
- Education level required: Undergraduate Degree (4 years or
equivalent) in Finance, Economics, Statistics, Mathematics or
another advanced quantitative field.
- Minimum experience required: 5 to 8 years of experience with
credit risk modeling; including linear modeling frameworks
(Ordinary Least Squares, Logistic Regression, Generalized Linear
Models, Credit Risk Scorecards, Time Series, Roll Rate, Transition
Matrix, etc.).
- 5 to 8 years of experience with commercial lending data;
Commercial Real Estate ("CRE"), Commercial and Industrial
("C&I"), Construction, and Asset-Based Lending ("ABL").
- 5 to 8 years of experience working with and analyzing model
data preparation requirements (missing values, transformations,
re-classifications, etc.).
- 3 to 5 years of experience with CCAR/DFAST modeling
requirements.
- 3 to 5 years of experience with ALLL/CECL modeling
requirements.
- 3 to 5 years of experience deploying credit loss models into a
production ALM environment.
- 3 to 5 years of experience using third-party macroeconomic
forecast data.
- (Additional experience required, if applicable)
- (Insert specific certifications or technical expertise i.e.
required licensing, certifications, or specialized training)
Preferred Qualifications:
- Education level preferred: Master's Degree (or Postgraduate
equivalent).
- Direct experience working in model development teams and
projects within a CCAR regulated organization.
Job Competencies:
- SAS: experience developing and documenting well-structured,
standards-based SAS programs using Enterprise Guide, SAS data
analysis and management procedures (Base SAS procedures, SAS
macros, SAS functions, program factoring such as "Include", etc.),
PROC SQL, statistical procedures (PROC GLM, PROC GEE, PROC GENMOD,
PROC LOGISTIC, PROC ARIMA, etc.).
- R: experience using similar routines mentioned above with
RStudio and standard R, additional R experience developing
transition matrix models.
- Excel: experience developing and documenting well-structured,
auditable workbooks, credit risk calculations, pivot tables, and
publishable tables, charts, and graphs.
- SQL: experience developing and running complex data extract and
transformation queries using SAS' PROC SQL.
- Experience working in a SQL Server database environment.
- Experience working in a SAS Server environment using Enterprise
Guide as the development and execution environment.
- Experience working with various data file formats including SQL
databases, SAS, Excel, and raw format data.
- Experience working in a networked Microsoft Windows end-user
computing environment.Travel requirements: Infrequent,
domestic
Keywords: Flagstar Bank, Levittown , Financial Assets Modeler Sr, Accounting, Auditing , New York, New York
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