Description
Senior Data Scientist - Treasury Modeling
CFG is a leading financial institution dedicated to providing innovative solutions to manage financial risks and optimize asset and liability portfolios. Central Model Development team (CMD) under Treasury group plays a crucial role in developing and maintaining models that support our strategic decision-making processes.
This position within CMD looks for talented and motivated candidates who will lead design, development, and deployment of advanced analytics, traditional statistical (e.g., regression, time series, GLMs) and machine learning solutions for ALM, liquidity, and CCAR/PPNR forecasting. The successful candidate will also be responsible for providing guidance to regarded functional leaders on model impacts, and collaborating with business partners including model validation, market risk, and internal audit for model governance and regulatory obligations.
Responsibilities:
Develop and maintain models used by Treasury group in balance sheet forecasting
By teaming with other Data Scientists and under the leadership of the Data Science Manager, develop customer behavior model for attrition, origination, and prepayment for deposit or loan products, and predictive model for market rates and other ALM/CCAR associated macroeconomic variables.
Develop model documentation; interact effectively with Model Risk Management & Validation, Market Risk Management, and other challenge groups to facilitate periodic model validations and reviews.
Monitor model performance and communicate results to internal stakeholders; propose model changes as necessary such as overlays and recalibration/redevelopment, supporting with sensitivity testing, back testing, and fundamental driver analyses.
Demonstrate understanding of related models that affect ALM models and behavior, including interest rate and term structure models.
Propose improved approaches to loan and deposit modeling, challenging all existing assumptions and status quo of current practices.
Assist in developing forward-looking macroeconomic and interest rate views while collaborating with CFG's Treasury for balance sheet management.
Provide analytical support to management in developing strategies associated with balance sheet and liquidity decisions.
Support initiatives such as Balance Sheet Optimization, Funds Transfer Pricing, Mortgage Servicing Rights and CCAR/DFAST when needed.
Prepare detailed yet actionable materials for ALCO and Senior Management
Qualifications:
Hands-on experience applying statistical analysis and machine learning techniques in the financial industry or consulting firm to support ALM, Stress Testing, Pricing or Credit Risk Management.
Exposure to Treasury/ALM and CCAR/PPNR modeling, deposit behavior, interest-rate/macroeconomic modeling, and stress testing workflows preferred.
Proven experience developing ML models end-to-end using Python (pandas, scikit-learn, PySpark), SQL, and version control.
Experience with cloud & data platforms (AWS SageMaker, H2O, Snowflake) and MLOps practices.
Strong statistical foundation and knowledge. Experience working with business partners across Line of Business, Validation, Audit, and Regulatory Relations, and producing regulatory-compliant documentation.
Experience with standard prepayment (BlackRock, Black Knight, QRM) or deposit (QRM, Novantas) models desirable
Familiarity with common financial and economic data (FRED, Bloomberg, Economy.com, etc).
Excellent presentation and communication skills; ability to convey actionable and understandable business intelligence
Progress toward CFA charter desirable
Education:
Graduate degree (M.S. or Ph.D.) in mathematical finance, economics, mathematics, statistics or similar STEM field is desired.
Pay Transparency
The salary range for this position is $124,000 - $150,000 per year, plus an opportunity to earn an annual discretionary bonus. Actual pay is based on various factors including but not limited to the work location, and relevant skills and experience.
We offer competitive pay, comprehensive medical, dental and vision coverage, retirement benefits, maternity/paternity leave, flexible work arrangements, education reimbursement, wellness programs and more. Note, Citizens' paid time off policy exceeds the mandatory, paid sick or paid time-away policy of every local and state jurisdiction in the United States. For an overview of our benefits, visit https://jobs.citizensbank.com/benefits .
Work Authorization: This role is not eligible for new employer-sponsored or current H-1 B visa holders. Applicants, including current OPT, L and other visa holders, must be authorized to work in the U.S. without the need for new employer sponsorship for themselves or their spouses now and in the future.
?
Some job boards have started using jobseeker-reported data to estimate salary ranges for roles. If you apply and qualify for this role, a recruiter will discuss accurate pay guidance.
Equal Employment Opportunity
Citizens, its parent, subsidiaries, and related companies (Citizens) provide equal employment and advancement opportunities to all colleagues and applicants for employment without regard to age, ancestry, color, citizenship, physical or mental disability, perceived disability or history or record of a disability, ethnicity, gender, gender identity or expression, genetic information, genetic characteristic, marital or domestic partner status, victim of domestic violence, family status/parenthood, medical condition, military or veteran status, national origin, pregnancy/childbirth/lactation, colleague's or a dependent's reproductive health decision making, race, religion, sex, sexual orientation, or any other category protected by federal, state and/or local laws. At Citizens, we are committed to fostering an inclusive culture that enables all colleagues to bring their best selves to work every day and everyone is expected to be treated with respect and professionalism. Employment decisions are based solely on merit, qualifications, performance and capability.
Why Work for Us
At Citizens, you'll find a customer-centric culture built around helping our customers and giving back to our local communities. When you join our team, you are part of a supportive and collaborative workforce, with access to training and tools to accelerate your potential and maximize your career growth
Background Check
Any offer of employment is conditioned upon the candidate successfully passing a background check, which may include initial credit, motor vehicle record, public record, prior employment verification, and criminal background checks. Results of the background check are individually reviewed based upon legal requirements imposed by our regulators and with consideration of the nature and gravity of the background history and the job offered. Any offer of employment will include further information.
