Quantitative Analyst

Position Summary

The Quantitative Analyst is responsible for all aspects of model risk management including fieldwork (including validating the adequacy of model outputs, assumptions, and methodologies), producing validation reports, as well as operating, maintaining, and developing benchmark models and reusable validation tools. Further, this position supports the administrative aspects of the department including annual planning, review of model changes, business updates, validating the remediation of findings, management reporting, and more.

Primary Success Factors

• Is responsible for developing, maintaining and validating quantitative models that are used in risk management, which includes credit risk, market risk and asset valuation.

• Ensures that models fit business purpose; methodologies are theoretically sound; modeling choices, assumptions and parameters are justifiable and supportable; and model results are reasonable.

• Proactively identifies and measures model risk.

• Ensures that model development, implementation, data input, assumptions, use/reporting, documentation, validation and maintenance use best practices, adhere to consistency and quality standards, and follow the guidance of Bank policies and procedures and regulatory requirements.

• Ensures compliance with applicable policies, procedures and regulations to ensure safe and sound business operations.

Required Experience

• Bachelor’s degree in a quantitative field with 3 or more years of experience. Graduate degree can be supplemented for a year of experience. 

• Experience in numerical analysis and computational methods using programming languages (such as C/C++, C#, Java, FORTRAN, MATLAB, SAS) and mathematical/statistical software packages

• Excellent quantitative and analytical background with a solid theoretical foundation, coupled with strong programming, documentation and communications skills

• Extremely focused, detail-oriented, results-oriented and highly productive

• Under the direction of more senior staff, must have the ability to efficiently and effectively conduct independent research, analyze problems, formulate and implement solutions, and produce quality results on time

• Excellent scientific and technical documentation skills

It is the policy of the Federal Home Loan Bank of Pittsburgh to ensure equal employment opportunity (EEO) for all employees and applicants for employment without regard to race, religion, color, sex, national origin, age, disability status, genetic information, veteran's status, ancestry, sexual orientation or status as a parent as defined by applicable law. It is the Bank's policy to comply with applicable laws concerning the employment of persons with disabilities, including reasonable accommodation for applicants and employees with disabilities.