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Quantitative Associate - Strategic Modeling and Analytics (Hybrid)
First Citizens Bank | |
United States, North Carolina, Charlotte | |
128 South Tryon Street (Show on map) | |
April 24, 2024 | |
Overview
This position is a senior level quantitative associate that directly supports the development of balance sheet forecasting models and base pricing models focusing on linear/non-linear FX derivatives and linear/non-linear IRD derivatives. The position sits within Strategic Modeling and Analytics (SMA) team within 1LOD Treasury Department. The SMA team owns and develops a wide spectrum of models, assesses applications in support of risk management efforts that measure the market risk and identify gaps in existing or proposed processes, and supports strategic decision making. A critical responsibility of the team will be to develop Basel 3 derivative base pricing functions and partner with key stakeholders to define a Basel 3 implementation strategy. Prior experience at CCAR filing institution or Large Financial Institution (LFI) presenting to regulators, model validators and auditors modeling methodology and model development decisions and documentation is recommended. Advanced proficiency in stochastic and deterministic derivative base pricing models used to derive present values or partials of derivatives is also recommended. Experience in industry known pricing vendors (Calypso, Bloomberg, Numerix, RiskMetrics) will be highly regarded. Responsibilities
Qualifications Bachelor's Degree and 3 years of experience in Finance or Analytics OR High School Diploma or GED and 7 years of experience Preferred Qualifications:
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