Senior Credit Risk Modeling Expert (Hybrid)

Wilmington Trust; Wilmington (DE); Hybrid; USD 123,600 - 206,000; Full time

Job summary

M&T Bank in Buffalo, NY is seeking a senior quantitative risk modeler to develop, implement, and maintain behavioral models for credit, liquidity, and interest rate risk. You will lead modeling efforts, manage data pipelines, and collaborate with risk management and Treasury teams to drive risk-informed decisions.

The role requires strong Python and SQL skills, extensive experience with time-series and regression methods, and the ability to communicate results clearly to senior management.

Qualifications

• Bachelor’s degree plus 6+ years in quantitative behavioral modeling, or 10+ years of related work.
• Credit model development experience.
• Python experience (6+ years) mandatory.
• SQL Server Management Studio experience (6+ years).
• Experience analyzing large datasets with clear communication.

Responsibilities

• Lead research and development of quantitative models for credit risk and liquidity risk.
• Prepare and analyze large datasets for econometric model estimation.
• Run regressions and other analyses; present results to stakeholders.
• Operate models in production and monitor performance.
• Document models and maintain performance guidelines.
• Collaborate with Model Risk Management and cross-bank teams.
• Provide guidance to junior staff and lead project teams.

Skills

Python

SQL

Time-series

Logistic regression

Data visualization

Statistical modeling

Education

Bachelor's degree in quantitative field

Master's degree preferred

PhD/Doctorate preferred

Tools

SQL Server Management Studio

Python

Job description

• Work Arrangement/Location: This is a hybrid position requiring in-office work three days every week. Ideally the position will be based in Buffalo, NY but may be in an M&T office in Buffalo, NY, Baltimore, MD, Bridgeport, CT, Wilmington, DE, Iselin, NJ, Washington, DC, Iselin, NJ, or possibly NY, NY.
  
  

• Work Arrangement/Location: This is a hybrid position requiring in-office work three days every week. Ideally the position will be based in Buffalo, NY but may be in an M&T office in Buffalo, NY, Baltimore, MD, Bridgeport, CT, Wilmington, DE, Iselin, NJ, Washington, DC, Iselin, NJ, or possibly NY, NY.
  
  

There is potential for a remote work arrangement, within the United States, if the final candidate is not near one of the above locations OR another M&T corporate office.

Overview

Independently develops, implements, maintains, analyzes and manages quantitative/econometric behavioral models used for credit risk, interest rate risk and liquidity risk management, as well as balance sheet and capital planning. Serves as Bank-wide or industry expert in key area(s) of quantitative risk management. Provides mentoring, training and guidance to less experienced analysts and may lead/manage teams on a project basis, providing performance feedback to management as appropriate.

Primary Responsibilities

• Lead research and development of quantitative behavioral models used for credit risk, interest rate risk and liquidity risk management, as well as balance sheet and capital planning, including but not limited to, loan delinquency, default and loss models, loan prepayment and utilization models, deposit attrition models, and financial instrument valuation methods.
• Prepare, manage and analyze large customer loan, deposit or financial data sets for statistical analysis in Structured Query Language (SQL) or similar tool to properly specify and estimate econometric models to understand customer or Bank behavior for the purposes of credit, interest rate, liquidity or stressed capital risk management. Understand context of the Bank’s data and businesses to ensure properly developed models.
• Run regressions (including time series and logistic regression), programming routines and other econometric analyses to specify models using appropriate statistical software; communicate results, including graphic and tabular forms, to fellow team members, Treasury management and Bank-wide stakeholders, including the business lines and Risk Management colleagues to demonstrate key risk drivers and dynamics of model output.
• Execute models in production environment; communicate analytical results to Bank-wide stakeholders. Track portfolio performance, model performance, campaign tracking and risk strategy results. Incorporate observations and data in to existing models to improve predictive results.
• Develop, maintain, and manage satisfactory model documentation, including process narratives and performance monitoring guidelines to serve as reference source.
• Lead financial analysis and data support to other groups/departments across the Bank as required, serving as Bank-wide expert in area(s) of quantitative risk management. Lead engagements with colleagues in Model Risk Management for model validation exercises.
• Provide guidance and direction to less experienced personnel regarding all aspects of data and financial analysis and the development and management of predictive statistical models.
• Conduct business in compliance with regulatory guidance including SR (Supervision and Regulation Letters) 10-1, SR 10-6, SR 11-7, Enhanced Prudential Standards, etc. Adhere to applicable compliance/operational/model risk controls and other second line of defense and regulatory standards, policies and procedures.
• Serve as lead in managing Treasury projects and initiatives under guidance and direction of management. Present data, results and/or recommendations to Senior Management as necessary. May lead teams on a project basis, providing performance feedback to management as appropriate.
• Understand and adhere to the Company’s risk and regulatory standards, policies and controls in accordance with the Company’s Risk Appetite. Identify risk-related issues needing escalation to management.
• Promote an environment that supports belonging and reflects the M&T Bank brand.
• Maintain M&T internal control standards, including timely implementation of internal and external audit points together with any issues raised by external regulators as applicable.
• Complete other related duties as assigned.
  
  

Scope Of Responsibilities

The position serves as a quantitative expert in use of statistical programming languages to analyze Bank datasets and development, implementation and maintenance of behavioral models. It is important for the position to communicate with clear narratives, compelling data visualization and technical precision, both in-person and in writing, to enable audiences to understand analysis and forecasts. The position partners and collaborates with colleagues in related functions, including Credit Risk Management, Asset Liability and Liquidity Management, Model Risk Management and business lines to implement and understand models for Bank use. The position often leads team-based projects related to model development or implementation. This role is highly technical in nature and requires demonstrated attention to detail, execution and follow-up on multiple initiatives within Treasury and across the Bank. The ability to identify, analyze, rationalize and communicate complex business, data and statistical problems and recommend corresponding solutions while directing the work of others on the team is a key factor of success in this role. The position may supervise the work of interns and/or lead teams on a project basis, providing performance feedback to management as appropriate. The position also provides guidance and direction to less experienced personnel.

Education And Experience Required

• Bachelor’s degree and a minimum of 6 years’ proven quantitative behavioral modeling experience, or in lieu of a degree, a combined minimum of 10 years’ higher education and/or work experience, including a minimum of 6 years’ proven quantitative behavioral modeling experience
• Credit model development experience
• Logistic Regression AND Linear Regression experience required
• Minimum of 6 years’ on-the-job experience with pertinent statistical software packages, including Python experience (mandatory)
• Minimum of 6 years’ on-the-job experience with data management environment, such as SQL Server Management Studio
• Minimum of 6 years’ on-the-job experience analyzing large data sets and explaining results of analysis through concise written and verbal communication as well as charts/graphs
  
  

Education And Experience Preferred

• Masters’ of Science or Doctorate degree in statistics, economics, finance or related field in the quantitative social, physical or engineering sciences, with proven coursework proficiency in statistics, econometrics, economics, computer science, finance or risk management
• Minimum of 8 years’ statistical analysis programming experience
• Financial Risk Manager (FRM) or Chartered Financial Analyst (CFA) designation
• Fluency and high proficiency in econometric/statistical techniques, especially time-series analysis, panel data methods and logistic regression
• Experience in balance sheet management and mathematical modeling of financial instruments offered by banks
• Knowledge and familiarity with key aspects of model risk management and model validation, including SR-11-7 guidance on model risk management
• Proven track record for being able to work autonomously and within a team environment
• Proven leadership skills
• Strong desire to learn and contribute to a group
• Previous experience leading and directing the work of less experienced personnel
  
  

M&T Bank is committed to fair, competitive, and market-informed pay for our employees. The pay range for this position is $123,600.00 - $206,000.00 Annual (USD). The successful candidate’s particular combination of knowledge, skills, and experience will inform their specific compensation.

Location

Buffalo, New York, United States of America