Manager, Quantitative Modeling

Location
Tysons Corner , Virginia
Posted
Apr 24, 2017
Closes
Jun 02, 2017
Ref
4945
Function
Management
Hours
Full Time
Summary

PenFed is hiring a Manager, Quantitative Modeling in our headquarters office located in McLean, VA. The primary purpose of this job is to support the Quantitative Modeling team, in the development of predictive modeling methodologies.  The tasks include probability of default, loss given default, and stress-testing models.  The applicant should have solid theoretical and practical knowledge of probability methods and models: generalized linear models, estimators, time-series analysis, panel data, and data cleaning & filtering. 

 

Essential Functions

Reasonable accommodations may be made to enable individuals with disabilities to perform the essential functions. This is not intended to be an all-inclusive list of job duties and the position will perform other duties as assigned.

    Develop and enhance stress testing methodology to satisfy various regulatory requirements.  Thorough statistical analysis of the underlying data, such as regression and time series analysis, and understanding of the various macroeconomic factors and risk factors that impact the credit quality of portfolios. Write high-quality model documentation that satisfies the internal model approval functions, audit requirements, and the regulators. Perform or direct research to challenge, support, or improve modeling approaches. Review and dissect forecasts and their drivers. Analyze the impact of changes in macroeconomic indicators on portfolio/business performance. Proficient in scenario analysis. Provide clear and insightful analytic modeling results, feedback and interpretation by way of written analysis and/or oral reports to various involved business units. Prepare and maintain summary-level, technical, and change log documentation of developed quantitative modeling methodologies.
 

Education and Experience

Equivalent combination of education and experience is considered.

    Advanced degree (master's or above) in a quantitative subject, such as Mathematics, Operations Research, Statistics, Economics or Finance; or a combination of education and experience that provides the necessary skills and knowledge to satisfactorily perform the job. Minimum of 3 year of experience within the financial services industry. Extensive understanding of retail lending – mortgages, auto, credit cards, student loans, and others. Extensive experience with industry best practice modeling techniques and demonstrable skills in rapid development, prototyping, benchmarking, and empirical analysis. Strong programming skills in a statistical programming language such as SAS, STATA, VBA and database skills such as SQL. Ability to condense highly technical subject matter into clear, effective presentation-quality communications to senior management. Experience in CCAR, DFAST, RWA, Stress Testing is preferred. Experience with PPNR modeling is preferred.
 

Supervisory Responsibility

This position will not directly supervise employees.

 

Licenses and Certifications

None required.

 

Work Environment

While performing the duties of this job, the employee is regularly exposed to an indoor office setting with moderate noise.

 

Travel

Some travel to various worksites is required. 

 

About Us

Founded in 1935, and still growing, we began as the War Department Federal Credit Union.  Today, PenFed is one of the country’s strongest and most stable financial institutions with over 1.5 million members and over $21 billion in assets.  We serve members in all 50 states and the District of Columbia, as well as on military bases in Guam, Puerto Rico and Okinawa. 

Our mission isn’t simply to help our members get by. We exist to help them realize every ounce of their potential. We exist to educate, and to encourage. We exist to usher their dreams into the land of reality.

We provide our employees with a lucrative benefits package including robust medical, dental and vision plan options, plenty of paid time off, 401k with employer match, on-site fitness facilities at our larger locations, and more.

 

Equal Employment Opportunity

PenFed will maintain and observe personnel policies which will prohibit discrimination or harassment against a person because of race, color, creed, age, sex, gender, religion, national origin, ancestry, genetic information, military or veteran status or obligation, the presence of a physical and/or mental disability and all other statuses protected by applicable state or local law in all recruiting, hiring, training, compensation, overtime, position classifications, work assignments, facilities, promotions, transfers, employee treatment, and in all other terms and conditions of employment.  PenFed will also prohibit retaliation against individuals for raising a complaint of discrimination or harassment or participating in an investigation of same.

PenFed will also reasonably accommodate qualified individuals with a disability so that they can apply for a job or perform the essential functions of a job unless doing so causes a direct threat to these individuals or others in the workplace and the threat cannot be eliminated by reasonable accommodation or if the accommodation creates an undue hardship to PenFed. Contact human resources (HR) with any questions or requests for accommodation at 703-838-1568.