Head of Treasury Modeling and Analytics - Director

Location: New York    Sectors Change Management  

The primary function of this role is leading the team that develops, documents, maintains, and implements modeling methodologies for projecting assets, liabilities, and revenues under various forward-looking macroeconomic scenarios. The resulting modeled projections feed into CCAR and DFAST projections as well as various business-as-usual ALM metrics within Treasury. The head of TMA also oversees the Analytical function within TMA, which leverages the Bank’s USA Corp.'s strategic platform to illustrate modeling implications for capital metrics and numerous "what-if" scenarios. Importantly, the scope of the Analytical function is broader than models of balances and revenues and include all modeling types.

This high-visibility role requires daily interactions with senior management from lines of business, Treasury, Finance, Risk, as well as frequent briefings with the Bank’s USA leaders and senior management. The head of TMA frequently leads the communications with Federal Reserve staff and oversees several sections of the Bank’s USA Corp.'s Capital Plan.

Opportunities of this Role:

  • Insight into a new and evolving discipline of modeling and analytics
  • A broad and fundamental understanding of the Bank's risk and capital processes, including model projection methodologies across the following areas: B/PPNR, credit risk, market risk, operational risk, and RWA
  • Ability to interact with different Business Divisions and Control and Support Functions across the Bank
  • An enterprise level perspective of CCAR and the Capital Adequacy processes and capabilities to develop and manage the Bank’s USA Corp.'s Capital Plan

Responsibilities:

  • Lead development and implementation of all TMA models
  • Build and maintain an inventory of quantitative and qualitative models to assist in capital adequacy assessments under different macroeconomic projections
  • Lead Board-level capital analytics, including developing quarterly assessments of the Bank's capital depletion under stress to senior management
  • Oversee drafting of the relevant section of the Bank’s USA Corp.'s Capital Plan
  • Take lead in all commutations with Federal Reserve staff on relevant topics
  • Critically evaluate information gathered from multiple sources, reconcile conflicts, decompose high-level information into details and abstract up from low-level information to a general understanding
  • Work independently with team leads / teams / management
  • Provide mentorship and guidance to more junior staff on the team

Skills and Qualifications:

  • Deep knowledge and extensive modeling experience across a broad range of modeling types and techniques
  • Proficiency in at least one programming language such as SAS, R, and MATLAB
  • Superior communication skills
  • Superior relationship management skills including ability to collaborate with multiple business partners and colleagues to challenge the status quo, influence appropriately, and partner on developing solutions
  • Good process and project management skills, with the ability to execute against tight deadlines and remain agile to evolving requirements
  • At least a Masters degree from top tier institution with a quantitative concentration in finance, economics, statistics, or mathematics
  • Previous experience in a modeling discipline for Banking or Capital Markets

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