JOE - December 2013

RBS Citizens Financial Group
Quantitative Analysts
Position Title/Short Description
Title: Quantitative Analysts
Section: 5 -- Full-Time Nonacademic
Location: Boston, MA, USA
JEL Classification: C -- Mathematical and Quantitative Methods
Deadline Date: 12/2013

JOE ID Number: 201312_400059

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Full Text of JOE Listing:
Our team of professionals have an ongoing need for Quantitative Analysts who will participate in the development and execution of credit Economic Capital methodologies and Stress testing models for Citizens Bank lending portfolio.

In this position, you will support the development of sector/industry risk assessment methodologies and quantitative measurement techniques for credit risk exposures and structured products. This team of individuals help to ensure strong credit practices and ultimately impact the resiliency of the bank.

Primary responsibilities:
- Develop or validate third party macroeconomic forecasting models
- Build macroeconomic models that explains the fundamental credit metrics.
- Develop credit risk simulation models, build pricing methodologies to be applied to wholesale exposure, retail exposures and structured assets. Evaluates portfolio credit exposure and data trends for CFG portfolios
- Maintain large data sets using advance statistical/modeling tools working with appropriate parties to resolve or remediate data quality issues. Partner with other team members in developing valuation and credits specific models. Contribute to implementation of quantitative models for forecasting, stress testing and scenario analysis
- Support implementation of third party vendor solution tools for credit risk

Participate in peer review sessions and maintain awareness of new advances in credit risk modeling techniques to ensure the application of best practices to CFG credit risk models.
Preferred Qualifications:
- Coursework and/or work experience in financial modeling and analytics.
- Prior experience in macroeconomic forecasting is preferred
- Ability to translate research into usable, value-added tools and information.
- For more senior roles, experience is required in modeling/analytical experience with commercial banks or financial in business and banking and with commercial banks products, operations and credit processes.
- Strong knowledge of financial, mathematical, and statistical theory and practice. Particularly knowledge of option valuation, portfolio theory, stochastic processes and time series analysis.
- Strong knowledge of statistical software packages; previous experience in data mining, demonstrated experience / expertise in problem solving.
- Extensive understanding of relational databases and ability to effectively utilize statistical software such as SAS, Stata, Splus and R.
- Knowledge of Matlab

Required: Graduate Degree in Economics or Finance.

Preferred Skills/Experience:
- Ph.D. Degree in a quantitative field
- Experience in developing macroeconomic forecasting models, knowledge of Vector Auto Regression, time series models and cross sectional analysis either in course study or work experience.
- Knowledge of vended tools such as KMV Portfolio Manager, Risk Frontier, Risk Metrics, BondStudio, QRM preferred but not required.
- Advanced programming knowledge in C, C++ or Excel VBA.

Application Instructions:

Please send your cover letter and resume to

Email for Applications:

For more information, email:

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