Quantitative Model Analyst, Treasury

About the Role

Corporate Treasury is a division within the CFO group responsible for providing executive management with accurate, timely, and comprehensive forecasts of the balance sheet and net interest income (NII). Models developed within Corporate Treasury are used to position its balance sheet in line with its risk appetite and expectations for changes in interest rates (IRR) or macroeconomic conditions (BAU/capital stress testing).

Our team is seeking a strong, decisive, and results-oriented quantitative analyst who will be responsible for building complex statistical models. These models may cover a variety of balance sheet items and are used as part of Treasury’s financial decision-making process.

Key Responsibilities

• Developing and maintaining advanced statistical models used for balance sheet forecasting and interest rate risk analysis.
• Estimating, testing, documenting, implementing, and maintaining macroeconomic forecasting model frameworks.
• Communicating modeling approaches and results to stakeholders across the bank.
• Deliverables include model development documentation such as presentations, written reports, model or reporting code documentation, business requirements, monitoring reports and related code, and procedures.

Requirements & Tech Stack

• Bachelor’s degree in a quantitative field, and five or more years of relevant experience
• OR MA/MS in a quantitative field, and three or more years of related experience
• OR PhD in a quantitative field, and less than two years of related experience
• Thorough knowledge of various regression techniques, parametric and non-parametric algorithms, time series techniques, and other statistical models.
• Thorough knowledge of various model validation tests/methodologies.
• Proficient using Python.
• Thorough data compilation, programming skills, and qualitative analysis skills.
• Thorough knowledge of quantitative and qualitative risk factors, industry risks, competition risks, and risk management approaches.
• Advanced understanding of applicable regulatory rules, guidance, or supervisory letters.
• Ability to manage multiple tasks across various timelines.
• Strong analytical, organizational, problem-solving, negotiation, and project management skills.
• Demonstrated independence, teamwork, and leadership skills.
• Effective interpersonal, verbal, and written communication skills.

Location Expectations

• This role requires working from a U.S. Bank Location three (3) or more days per week.