Job Description : Job Description The Quantitative Analyst is responsible for execution of model validation procedures for market risk models, including but not limited to derivatives pricing, Monte Carlo simulations, Credit Valuation Adjustment (CVA), Value-at-Risk (VaR), term structure of interest rates, curve construction, therefore the ideal candidate will have expertise in derivative pricing and Monte Carlo concept. Underlying assets include commodities, equities, foreign exchange, interest rates, credit derivatives and structured products. This is a hands-on role requiring strong skill set in stochastic calculus, financial mathematics, and statistics. Quantitative Analysts are expected to contribute to model validation projects, perform testing/analysis of models, and provide write ups and insights to senior analysts, validation leads and attend peer reviews.
Job Duties: Validate market risk models, build code, replicate, and create alternative models. Effective challenge of the model conceptual soundness, assumptions, and appropriateness of model methodology. Model development data integrity verification. Replication of the model estimates. Model testing including backtesting, sensitivity analysis, stress testing, and benchmarking. Review of the model implementation, verification of user acceptance testing. Preparation of comprehensive independent validation documentation. Coordination of independent validation projects and processes among multiple stakeholders. Participation in peer review processes for model development and validation. Participation in improvement of model validation procedures and supporting methods. Participation in model monitoring and maintenance review. Ongoing improvement of business acumen including knowledge of regulatory guidance, relevant research, risk technology, and financial services industry. Development of strong business relationships with key business partners.
Qualifications Master's degree Business, Financial Engineering, Operations Research, Economics, Engineering, Statistics, Mathematics or an equivalent combination of education and work related experience. At least 3-5 years of experience in financial industry, audit, or functional equivalent. Statistical and econometric theory, stochastic modeling, logistic regression, linear regression, time series modeling, operations research, Monte Carlo and scenario based simulations. Model development and implementation procedures. Regulatory requirements such as SR 11-7. Project management, strong communication and writing skills Capacity to cope with a high degree of ambiguity and change Ability to work both independently and as part of cross-functional teams
Preferred Requirements: Masters or PhD. in a relevant field such as Operations Research, Economics, Statistics, or Mathematics; or an equivalent combination of education and work related experience.
It will be ideal, but not required, to have experience on the following:
On February 7, 2019, it was announced that SunTrust Banks, Inc. and BB&T Corporation intend to merge, with the combined entity to be named Truist Financial Corporation ("Truist"). The merger is subject to regulatory approval, and BB&T and SunTrust remain separate and independent companies until the merger closes. This position, which would be for a role with Truist or an affiliate, is contingent upon the merger receiving regulatory approval and closing.
Equal Opportunity Employer: SunTrust supports a diverse workforce and is a Drug Testing and Equal Opportunity Employer. SunTrust does not discriminate against individuals on the basis of race, creed, color, gender, religion, national origin, age, disability, veteran status, pregnancy, marital status, citizenship status, sexual orientation, gender identity, genetic information, or any other classification protected by applicable laws.
To review the EEO Poster, copy and paste the following link into your browser: http://www1.eeoc.gov/employers/upload/eeoc_self_print_poster.pdf http://www.dol.gov/ofccp/regs/compliance/posters/pdf/OFCCP_EEO_Supplement_Final_JRF_QA_508c.pdf
Internal Number: 6697907
About SunTrust Bank
eFinancialCareers is a career site specializing in financial services.