| Location: |
CA-San Francisco San Francisco/Charlotte
West Coast/Northwest (CA, OR, WA, AK & HI) |
| Salary Range: |
120,000 - 140,000 |
| Total Compensation: |
130,000 - 155,000 |
| Job Description: |
Responsible for performing complex activities to support the development of advanced statistical models for operational risk. These models must meet the Basel II AMA, as well as internal economic capital model, requirements. Duties may include: 1) employing advanced statistical techniques for analyzing data (e.g., internal/external loss data, scenario analysis data, etc.) and quantifying risk; 2) researching and developing modeling approaches incorporating multiple inputs and modeling techniques; 3) acquiring a solid understanding of the Banks operational risk program and relationship between the measurement and management of operational risk; 4) assisting in the documentation of the quantitative framework, to include the statistical methodologies employed and the rationale for all assumptions underpinning the quantification framework; 5) presenting methodology, results, and recommendations to working partners, regulators, senior management, and industry; and 6) participating in examinations conducted by internal audit, the model validation group, and federal regulatory agencies. |
| Education and Certifications/Licenses: |
Doctorate, None, None |
| Mandatory Minimum Qualifications: |
Basic Qualifications 7+ years risk experience and 2+ years management experience Candidates Must Have: PhD in Applied Math, Statistics, Economics, or Physics |
| Preferred Qualifications: |
Minimum Qualifications Ph.D. in mathematics, statistics, or physics, with at least 5 years of full-time work experience building statistical models. Experience should include fitting distributions, leveraging Monte Carlo methods, and programming in MatLab (or other statistical platform). Knowledge of LDA, EVT, robust estimators, VaR, and risk management is a plus. Candidate should possess outstanding analytical and problem-solving skills; experience in developing customized code or programming to extend statistical toolboxes; and excellent written and verbal communication skills, including the ability to effectively present and document technical material for technical, as well as non-technical, personnel. Candidate must also have a strong attention to detail, work well within a team of analysts and collaborate with individuals with technical and non-technical backgrounds. |
| Benefits: |
|
| Overnight Travel: |
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| Relocation Assistance: |
Yes |
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