DESCRIPTION:

Duties: Design, develop, and apply quantitative frameworks, including balance sheet optimization models and analytical tools, to evaluate firm-wide balance sheet strategy. Analyze the composition of the firm's balance sheet and assess asset and liability constraints under current and forecasted regulatory and economic conditions. Conduct research on the banking industry, including GSIBs, H.8-reporting banks, and regional banks, with a focus on liquidity, risk-weighted assets (RWA), and balance sheet dynamics amid regulatory and macroeconomic uncertainty. Develop advanced models, tools, and analytics to support large-scale data analysis and manage and systematize datasets across the firm and industry. Monitor key market stress indicators and identify trends in balance sheet strategy within the banking sector. Lead hands-on development of advanced optimization models using Python. Collaborate with subject matter experts across functions and demonstrate strong communication, time management, and multitasking skills. Summarize complex research findings into clear, actionable insights and present them to senior management.

QUALIFICATIONS:

Minimum education and experience required: Master's degree in Financial Engineering, Finance, Economics, or related quantitative field of study plus three (3) years of experience in the job offered or as Quant Analytics Research, or related occupation. The employer will alternatively accept a Bachelor's degree in Financial Engineering, Finance, Economics, or related quantitative field of study plus five (5) years of experience in the job offered or as Quant Analytics Research, or related occupation.

Skills Required: This position requires three (3) years of experience with the following: Designing interactive Excel and PowerPoint reports with advanced functionalities including lookup, index match, pivot tables, and data analysis add-ons; Developing Excel automation using VBA for reporting and data processing. This position requires two (2) years of experience with the following: Designing interactive financial dashboards and reports that integrate real-time data using Tableau, Dash, and Python Plotly; Valuing financial instruments including fixed income and options to calculate risks and pricing of fixed and floating bonds, agency mortgage-backed securities, credit investments, loans, and deposits using Monte Carlo simulation and stochastic calculus; Managing and optimizing balance sheets to analyze financial statements, assess asset-liability structures, and ensure compliance with regulatory requirements. This position requires one (1) year of experience with the following: Applying object-oriented principles in Python and Matlab to design and implement modular software systems for automating financial workflows and developing analytics pipelines; Improving computational performance and reducing processing time using parallel computing methods and concurrency frameworks such as multithreading and multiprocessing; Writing advanced SQL queries to extract, filter, aggregate, analyze, and join financial datasets, identify trends, and detect anomalies; Formulating and solving linear, non-linear, and mixed-integer optimization problems to support capital and liquidity resource allocation; Conducting statistical analysis using techniques including linear regression, principal component analysis, autoregressive fractionally integrated moving average, autoregressive conditional heteroskedasticity, generalized autoregressive conditional heteroskedasticity, and vector autoregression; Conducting machine learning analysis using techniques including feature engineering, classification and clustering algorithms, logistic regression, decision trees, random forests, and k-nearest neighbors.

Job Location: 270 Park Ave, New York, NY 10017.

Full-Time. Salary: $150,000.00-$165,000.00 per year.