New York Community Bank: Sr. Stress Testing Quantitative Risk Modeler

Provide risk management and measurement services in the areas of credit risk, market risk, liquidity risk, operational risk and model risk.

New York Community Bank Company: New York Community Bank
Location: Cleveland, OH, USA

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A Senior Stress Testing Quantitative Risk Modeler, working under limited supervision, provides risk management and measurement services in the areas of credit risk, market risk, liquidity risk, operational risk and model risk. Develops complex models to quantify risk or price assets.

  • Responsible for developing, implementing and maintaining models used in the corporation's risk management. Specific duties include:
  • Develops quantitative model validations and performs stress testing in the following areas; credit risk, (including probability of default), loss given default, exposure measurement, loan loss reserving, market risk (including daily value at risk), pricing models, counterparty credit risk, prepayment risk, and liquidity risk (including building regulatory liquidity calculations).
  • Develops a capital stress test model to be used to conduct predictive modeling.
  • Assists in developing methodologies and assumptions to produce highly correlated results from historical data applied to projected loan originations.
  • Conducts financial, econometric and statistical analysis of data.
  • Manages large and/or complex data sets using statistical tools and database technologies.
  • Reviews external studies and adapts methodologies in those studies to NYCB risk areas.
  • Critically reviews financial regulations and develops quantitative methods that meet regulatory requirements.
  • Performs back-testing, sensitivity testing, and stress testing of models.
  • Identifies and critically evaluates internal loan data elements and external market data for use in risk management models.
  • Works with staff in the business units to gain and understanding of business issues and to reflect that understanding in the risk models and methods.
  • Prepares documentation, communication materials and writes technical documentation including methodologies.
  • Presents results and analysis of findings to manager.
  • Documents business requirements and ensures methodologies are accurately implemented in production systems.
  • Conducts ad hoc assignments in areas such as; credit risk (capital), market risk, and liquidity risk.
  • Assists with calculations related to credit economic capital.
  • May act as lead or technical expertise on assigned projects.
  • Stays abreast of changes in financial industry and regulatory environment and assessing the impact on risk.

  • Performs special projects and additional duties and responsibilities as required.
  • Where applicable and when performing the responsibilities of the job, employees are accountable to maintain Sarbanes-Oxley compliance and adhere to internal control policies and procedures.


Education and experience
  • Bachelor's Degree in Finance, Economics, Statistics, Mathematics or other advanced quantitative field.
  • Master's or Ph.D. preferred.
  • Minimum of five (5) years of relevant work experience in finance related field, including at least two (2) years of experience in a financial institution conducting complex quantitative modeling and validation.

Knowledge, skills and abilities
  • Advanced knowledge of finance and capital markets.
  • Advanced knowledge of statistical or analytical modeling language such as SAS, Matlab, Stata, or S+.
  • In-depth understanding of multivariate statistics.
  • Proficiency using large and complex data sets.
  • Computer literate with expert proficiency in internet navigation, word processing, spreadsheet and database applications.
  • Excellent knowledge of quantitative risk management methodologies including VaR and stress testing.
  • Strong written and verbal communication skills.
  • Good project management skills and a demonstrated ability to manage complex projects.