Quantitative Model Analyst 2

About the Role

Performs all phases of large complex model development, validation, and performance management for various types of projects. Projects may include data aggregation, model design, model selection, testing, documentation, validation, implementation, and execution. Incumbent is expected to progress to a subject matter expert in one or more areas. This position will have occasional exposure to internal and external oversight. Position requires limited management direction. May interact directly with senior managers requiring advanced levels of presentation and relationship building skills.

Key Responsibilities

• Perform model development, validation, and performance management.
• Data aggregation.
• Model design, selection, testing, documentation, validation, implementation, and execution.

Requirements & Tech Stack

• SAS, R, or similar statistical package.
• Programming skills with Python, VBA, and C++.

Qualifications

• Bachelor’s degree in a quantitative field, and three or more years of relevant experience.
• MA/MS in a quantitative field, and less than three years of related experience.
• Strong statistical modeling background.
• Basic knowledge of various regression techniques (linear, logistic), parametric and non-parametric algorithms, time series techniques (ARIMA, GARCH), and other statistical models.
• Knowledge of various model validation tests/methodologies.
• Basic knowledge of the Mortgage Industry.
• Knowledge pertaining to mortgage servicing rights (MSR) valuation, market risk hedging, and current coupon/primary mortgage rate generation.
• Knowledge of quantitative and qualitative risk factors (duration, convexity), industry risks, competition risks, and risk management approaches.
• Experience modeling or analyzing mortgage prepayments and delinquencies.
• Basic understanding of applicable laws, regulations, financial services, and regulatory trends that affect the mortgage business.
• Strong project management skills.
• Demonstrated independence, teamwork, and leadership skills.
• Effective interpersonal, written, and verbal communication skills.

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