TIAA, FSB in Jacksonville, FL: Quantitative Risk Analyst Senior (multiple openings). Develop quantitative and statistical analysis to measure and model behavior of complex assets and liabilities in order to support lending activities, planning, and overall balance sheet risk management. Leverage financial mathematics to develop models, including prepayment and pricing, for residential loans, commercial loans and leases, mortgage servicing rights, deposit models, short rate models, and balance sheet gap and duration calculation. Use Matlab for cash flow diagrams, model execution, and optimization routines. Develop linear and non-linear statistical regression models using SAS. Source and place data in SQL databases. Utilize fixed income principles, including valuations of loans, deposits, and bonds, in quantitative work. Evaluate risk and opportunities on residential loans, including fixed rate and adjustable rate mortgages. Measure dynamics of balance sheet behavior to changing market conditions. Document model inputs and outputs, and develop test scripts to manage model risk. Analyze inherent rate risk in financial instruments at the bank. Develop models for strategic initiatives, portfolio acquisitions, and new business opportunities. Liaise with portfolio managers, finance, treasury and risk divisions to communicate results of models. Provide direction to junior Quantitative Risk Analysts. Requirements: Masters degree (or foreign equivalent) in Finance, Mathematics, Statistics, Economics, or a related quantitative field and knowledge of Matlab, SQL databases, object oriented programming, and financial mathematics concepts, including fixed income principles, bond math, option theory, optimization theories, and linear and non-linear regression techniques, which can be gained through experience, graduate level coursework, or internships.
Worksite: TIAA, FSB, 501 Riverside Avenue, Jacksonville, FL 32202
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Masters degree (or foreign equivalent) in Finance, Mathematics, Statistics, Economics, or a related quantitative field and knowledge of Matlab, SQL databases, object oriented programming, and financial mathematics concepts, including fixed income principles, bond math, option theory, optimization theories, and linear and non-linear regression techniques, which can be gained through experience, graduate level coursework, or internships.
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