JOE - November 2012

RBS Citizens, N.A
Sr Quantitative Analyst
Position Title/Short Description
Title: Sr Quantitative Analyst
Section: 6 -- Other Nonacademic (Temporary, Part-Time, Non-Salaried, Consulting, Etc.)
Location: Boston, MA, USA
JEL Classification: G2 -- Financial Institutions and Services

JOE ID Number: 201211_397896

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Full Text of JOE Listing:
1. Participate in development and execution of credit Economic Capital methodologies and Stress testing models for the Bank's lending portfolio.

--Analyze credit risk valuation models, correlations, concentrations, rating migrations, and risk contributions
--Build macroeconomic models that explains the fundamental credit metrics, such as defaults, charge offs, loss severity, prepayment and new balance growth
--Maintain large data sets using advance statistical/modeling tools
--to implementation of quantitative models for forecasting, stress testing and scenario analysis

--Required: Master's Degree in Economics, Finance, Mathematics and Statistics
--Preferred: Ph.D. Degree in a quantitative field
--Particularly knowledge of option valuation, portfolio theory, stochastic processes and time series analysis.
--Experience in developing macroeconomic forecasting models, knowledge of Vector Auto Regression, time series models and cross sectional analysis is desirable.
--Ability to translate research into usable, value-added tools and information.
--Strong knowledge of statistical software packages; previous experience in data mining
--Extensive understanding of relational databases and ability to effectively utilize statistical software - SAS, Stata, and R.
--Advanced programming knowledge in C, C++ or Excel VBA is helpful. Knowledge of Matlab, Splus and relational databases are a strong plus
--Very good communication (both verbal and written) skills
Application Instructions:

Please apply online

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