Description

As a part the Central Model Development team, you’re made ready for a fulfilling career with exciting new challenges and opportunities to stretch yourself. The ALM Data Scientist will design and build securities, loan and deposit exposure and pricing models used in asset/liability management (ALM). The Data Scientist will make strategic recommendations on forecasting, risk management, and macroeconomic outlooks for balance sheet management.

While in this role, you will create first line models and perform statistical and analytical testing using machine learning, logistical regression and other techniques. This is a chance to work with an accomplished, high performing team, while having the opportunity to take risks, break things, and challenge everything you see.

Responsibilities:

• Develop and maintain models used by CFG's ALM group in balance sheet forecasting
  • By teaming with other Data Scientists and under the leadership of the Data Science Manager, develop deep knowledge in portfolio characteristics and customer behavior through data mining, segmentation analysis, and market analysis.
  • Monitor model performance and communicate results to internal stakeholders
  • Propose model changes as necessary such as overlays and recalibration/redevelopment, supporting with sensitivity testing, back testing, and fundamental driver analyses
  • Demonstrate understanding of related models that affect ALM models and behavior, including interest rate and term structure models.
  • Interact effectively with Model Risk Management & Validation, Market Risk Management, and other challenge groups to facilitate periodic model validations and reviews.
• Propose improved approaches to loan and deposit modeling, challenging all existing assumptions and status quo of current practices.
• Assist in developing forward-looking macroeconomic and interest rate views while collaborating with CFG's Treasury for balance sheet management.
• Provide analytical support to management in developing strategies associated with balance sheet and liquidity decisions.
• Support initiatives such as Balance Sheet Optimization, Funds Transfer Pricing, Mortgage Servicing Rights and CCAR/DFAST when needed.
• Prepare detailed yet actionable materials for ALCO and Senior Management

Qualifications:

• 4 years of experience using fundamental and quantitative analysis in the Treasury modeling space at a bank or consulting firm to support risk management, forecasting, and pricing.
• Experience in developing time series forecasting models, utilizing techniques such as ARIMA, Error Correction or other relevant statistical and machine learning methods.
• Familiarity with common financial and economic data (FRED, Bloomberg, Economy.com, etc).
• Experience in programming such as (Excel/VBA, SQL, R, Python etc.)
• Experience with standard prepayment (BlackRock, Black Knight, QRM, ADCO) or deposit (QRM, Novantas) models desirable
• Exposure to QRM, Bancware, Empyrean, or similar bank balance sheet management software desirable
• Progress toward CFA or FRM designation desirable
• Excellent presentation and communication skills

Education:

• Graduate degree (M.S. or Ph.D.) in mathematical finance, economics, mathematics, statistics or similar STEM field is desired. Exceptional, experienced programmers with a STEM undergraduate degree will be strongly considered as well.

Some job boards have started using jobseeker-reported data to estimate salary ranges for roles. If you apply and qualify for this role, a recruiter will discuss accurate pay guidance.

Equal Employment Opportunity

At Citizens we value diversity, equity and inclusion, and treat everyone with respect and professionalism. Employment decisions are based solely on experience, performance, and ability. Citizens, its parent, subsidiaries, and related companies (Citizens) provide equal employment and advancement opportunities to all colleagues and applicants for employment without regard to age, ancestry, color, citizenship, physical or mental disability, perceived disability or history or record of a disability, ethnicity, gender, gender identity or expression (including transgender individuals who are transitioning, have transitioned, or are perceived to be transitioning to the gender with which they identify), genetic information, genetic characteristic, marital or domestic partner status, victim of domestic violence, family status/parenthood, medical condition, military or veteran status, national origin, pregnancy/childbirth/lactation, colleague’s or a dependent’s reproductive health decision making, race, religion, sex, sexual orientation, or any other category protected by federal, state and/or local laws.

Equal Employment and Opportunity Employer

Citizens is a brand name of Citizens Bank, N.A. and each of its respective affiliates.