Senior Quantitative Associate - Strategic Modeling and Analytics
Company: First Citizens Bank
Location: Charlotte
Posted on: May 7, 2024
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Job Description:
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. Candidate will be responsible for
establishing a fit-for-purpose models, with strong governance,
analytics and documentation that aligns to SR 11-7 and SR 15-19.
This is an individual contributor role that over time will grow in
responsibility. Responsibilities:
Keywords: First Citizens Bank, Rock Hill , Senior Quantitative Associate - Strategic Modeling and Analytics, Accounting, Auditing , Charlotte, South Carolina
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