Quantitative Analyst I - ALM Modeling (Remote)

Overview

This position is the junior level analyst in ALM Modeling team. Performs the measurement, reporting and management of Interest Rate Risk. Recommends improvements to current procedures, plans, and controls to achieve financial objectives, and assists in implementing recommended enhancements. The ALM Modeling team is responsible for the direction, development, and management of Treasury activities as pertaining to interest rate risk, analysis and reporting efforts to illuminate current and forecasted risk positions, and recommendation to manage or limit risk.

Responsibilities

Financial Support - Develop, maintain, and enhance Net Interest Income (NII) forecasting models, Earnings at Risk (EAR) and Economic Value of Equity (EVE) analysis for Asset Liability Management (ALM) using QRM. Evaluates the balance sheet's asset-liability risks for the recommendation of key indicator and limits. Assists with analysis and risk identification within products, markets, and client behavior.

Assumption Analysis - Conduct sensitivity analysis on key assumptions to understand the limitations and weaknesses of key assumptions' impact on NII forecast outputs and perform in-depth attribution analysis to understand market / portfolio / model impacts. Provides robust statistical analytics to support portfolio modeling, assumption, pricing sensitivity, pricing studies.

Business Support – Partner with modeling team to integrate and test behavioral models including deposit attrition and pricing models in QRM. Collaborate closely with Model Validation and Audit to facilitate the model validation and auditing process. Address validation and audit findings and incorporate industry best practices and regulatory guidelines.

Reporting - Prepare reports to Asset Liability Committee (ALCO) and Senior Management Team. Produces reports based on data analysis, company trends, and financial processes.

Qualifications

Bachelor's Degree and 2 years of experience in financial, statistical, or quantitative analysis experience OR High School Diploma or GED and 6 years of experience in financial, statistical, or quantitative analysis experience

Preferred Qualifications

Hands-on experience with QRM and Hyperion systems.

Experience with loans and deposits modeling and implementation.

Benefits are an integral part of total rewards and First Citizens Bank is committed to providing a competitive, thoughtfully designed and quality benefits program to meet the needs of our associates. More information can be found at https : / / jobs.firstcitizens.com / benefits.

Company Description :

Founded in 1898 and headquartered in Raleigh, N.C., First Citizens Bank serves customers in 18 states and the District of Columbia. For over 100 years, customers have trusted First Citizens with their money … and their futures. Today, First Citizens is the largest family-controlled bank in the nation and the sixth-largest bank franchise headquartered in the Southeast with more than $30 billion in assets. We employ more than 6,000 associates who are focused on helping our customers achieve a lifetime of success. First Citizens operates more than 570 branches in Arizona, California, Colorado, District of Columbia, Florida, Georgia, Kansas, Maryland, New Mexico, Missouri, North Carolina, Oklahoma, Oregon, South Carolina, Tennessee, Texas, Virginia, Washington and West Virginia.

First Citizens Bank. Forever First®. Member FDIC.

Equal Opportunity / Affirmative Action Employer / Minority / Female / Disability / Veteran

If you need special assistance or an accommodation in applying for employment at First Citizens Bank, please contact our Human Resources department.