CIT Group Inc.

  • AVP, Quantitative Modeling - Interest Rate Risk/Mortgage Payments

    Location US-CA-Pasadena
    Job ID
    30955
    # Positions
    1
    Job Family
    Finance - Treasury
    Type
    Full-Time
  • Overview

    Founded in 1908, CIT (NYSE: CIT) is a financial holding company with approximately $50 billion in assets as of Dec. 31, 2017. Its principal bank subsidiary, CIT Bank, N.A., (Member FDIC, Equal Housing Lender) has approximately $30 billion of deposits and more than $40 billion of assets. CIT provides financing, leasing, and advisory services principally to middle-market companies and small businesses across a wide variety of industries. It also offers products and services to consumers through its Internet bank franchise and a network of retail branches in Southern California, operating as OneWest Bank, a division of CIT Bank, N.A. For more information, visit cit.com.

    Responsibilities

    The Quantitative Analyst will interface with internal clients and focus on a variety of challenging analytical projects, particularly in asset/liability management (ALM), stress testing, risk measurement, and valuation. The ideal candidate will have experience modeling the cash flows and risks associated with one or more of the following balance sheet categories: consumer and commercial loans, residential mortgage, and commercial mortgages and securities, as well as prepayment and/or deposit behavior modeling.

     

    Responsibilities:

    • Manage mortgage prepayment model currently used by ALM, including:
    • Monitor model performance and communicate results to various internal stakeholders
    • Propose and support model changes, if needed
    • Work with model governance group to facilitate periodic model validation
    • Assist business unit stakeholders in leveraging model capabilities for forecasting and analytical purposes
    • Support the monthly Interest Rate Risk (IRR) process associated with Economic Value of Equity (EVE) and Earnings at Risk (EaR), using Quantitative Risk Management (QRM) system
    • Contribute to the continued enhancements of various modeling approaches currently used in QRM across assets and liabilities
    • Provide analytical support to management in crafting strategies associated with balance sheet and liquidity optimization, and hedging decisions
    • Participate in various on-going internal projects such as Funds Transfer Pricing (FTP)

    Qualifications

    Job Requirements:

     

    • Degree in a quantitative field such as Economics, Financial Engineering, Statistics, Mathematics, etc.; advanced degree preferred
    • 2+ years of experience using advanced quantitative analysis and applied statistical techniques in relevant asset/liability categories, including regression, time series forecasting, economic models, data mining, survival analysis, prepayment modeling, sensitivity, back-testing, performance measurement
    • 2+ years financial services experience with a preference for skills acquired in a function responsible for ALM, CCAR/DFAST stress testing, capital management, risk management, dynamic balance sheet/ income statement forecasting, loan or bond pricing
    • Demonstrated ability in developing and managing sophisticated financial models and performing ad hoc analysis to support risk, valuation, pricing, and capital decisions in relevant asset/liability categories
    • Experience with QRM and prepayment models (such as AFT or ADCO) highly preferred
    • Strong quantitative and programming abilities (Excel/VBA, SQL, R, Python, Java, C, C++, C#, etc.)
    • Excellent organizational and communication skills

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