Director, Quantitative Balance Sheet Modeling Summary The primary purpose of this job is to lead quantitative balance sheet modeling activities in the development of predictive modeling methodologies to support integrated balance sheet forecasting and capital planning/stress testing efforts. This position will lead and direct the development and production of key quantitative modeling initiatives for credit loss forecasting and prepayment and attrition modeling and provide effective challenge of new volume origination modeling in support of PenFed's balance sheet management, financial forecasts, capital planning activities, and risk mitigation strategies. 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. Direct the quantitative analysis of the impact of credit loss forecasts and member behavioral responses on portfolio/business performance for an effective integrated forecasting/capital planning process. Conduct thorough statistical analysis of the underlying data using regression and time series analysis to understand the various factors that impact forecasted probability of default, loss given default and other member behavioral responses to macroeconmic factors. Collaborate effectively with business units to ensure quantitative modeling approaches and assumptions are considered or reflected in business unit strategies. Provide clear and insightful analytic modeling results, feedback and interpretation by way of written analysis and/or oral reports to various involved business units. Lead portfolio/business performance scenario analysis and stress testing to determine various drivers of model outcomes and their relationship to changing macroeconomic or portfolio composition inputs. Continually improve and enhance quantitative modeling approaches and methodologies to promote alignment with industry best practices. Responsible for the production of high-quality model documentation that satisfies the internal model governance functions, audit requirements, and external regulatory bodies. Prepare and maintain summary-level, technical, and change log documentation of developed quantitative modeling methodologies. Develop processes that validate model performance including model calibration, backtesting, and model validation activities. Manage the integration of quantitative models into the credit union asset/liability and income forecasting balance sheet models using the QRM Balance Sheet Management system (QRM) to support forecasting, capital planning and stress testing requirements. Provide thought leadership to the modeling capabilities by researching trends and market best practices. Remain abreast of regulatory developments in stress testing and best practices within the industry through publications, membership in professional organizations and contact with other financial institutions. *This role is responsible for ensuring business continuity.* 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. PHD is preferred. Extensive understanding of retail lending - mortgages, auto, credit cards, student loans, and others. Minimum of 10 years' experience working with advanced econometric and statistical tools including CCAR, PPNR, AML, and other financial risk management models. 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. Possess solid theoretical and practical knowledge of probability methods and models: generalized linear models, estimators, time-series analysis, panel data, and data cleaning & filtering. Excellent understanding of the regulatory capital stress testing and/or the Federal Reserve's CCAR testing process and relevant generally accepted accounting principles (GAAP) guidance is a plus. QRM Balance Sheet Management system experience including integrating externally developed models into the QRM framework is preferred. Supervisory Responsibility This position will directly supervise employees. Licenses and Certifications There are no additional certifications required. Work Environment While performing the duties of this job, the employee is regularly exposed to an indoor office setting with moderate noise. *Most roles require working in an office setting with moderate noise and the ability to lift 25 pounds.* Travel Ability to travel to various worksites and be on-call is required. About Us Established in 1935, PenFed today is one of the country's strongest and most stable financial institutions with over 1.6 million members and over $23 billion in assets. We serve members in all 50 states and the District of Columbia, as well as in Guam, Puerto Rico, Okinawa, and Portugal. We are federally insured by NCUA and we are an Equal Housing Lender. We are available to members worldwide, via the web, seven days a week, twenty-four hours a day. 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 management will maintain and observe personnel policies which will not discriminate or permit harassment or retaliation against a person because of race, color, creed, age, sex, gender, gender identity, gender expression, religion, national origin, ancestry, marital status, military or veteran status or obligation, the presence of a physical and/or mental disability or medical condition, genetic information, sexual orientation, and all 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 571-289-4710.