Senior Quantitative Risk Analyst (HA-12295079) Boston, Massachusetts

Senior Quantitative Risk Analyst, Economic Capital and Stress Testing - Boston, MA

One of the most respected banking institutions in Boston is seeking a Senior Quantitative Analyst to develop and execute credit Economic Capital methodologies and Stress Testing models for the Bank’s lending portfolio.  Successful candidates will build macroeconomic models that explain fundamental credit metrics such as PD, LGD, charge-offs, loss severity, prepayment, and new balance growth.  As a senior member of the Portfolio Analytics team you will work in partnership with and in support of other members of the team, other functional teams, as well as external entities such as Treasury and business lines. 


  • Develop credit risk simulation models, build pricing methodologies to be applied to wholesale exposure, retail exposures and structured assets
  • Evaluate portfolio credit exposure and data trends for the Bank’s Wholesale and Retail portfolios
  • Maintain large data sets using advance statistical/modeling tools
  • Partner with other team members in developing valuation and credit specific models
  • Support implementation of third party vendor solution tools for credit risk
  • Prepare ad-hoc risk quantification projects at the request of management
  • Participate in peer review sessions and maintain awareness of new advances in credit risk modeling techniques to ensure the application of best practices to proprietary credit risk models
  • Assure quality and leading-edge nature of work by helping to solve problems faced by others.


  • Required: Master’s Degree in Economics, Finance, Mathematics and Statistics
  • Preferred: Ph.D. Degree in a quantitative field
  • 5-6 years of experience in financial modeling and analytics.
  • Understanding of compliance and implications of Basel, FDIC, Federal Reserve regulatory frameworks as well as U.S. and International accounting standards.
  • Strong knowledge of financial, mathematical, and statistical theory and practice, articulate knowledge of option valuation, portfolio theory, stochastic processes and time series analysis.
  • Experience in developing macroeconomic forecasting models, knowledge of Vector Auto Regression, time series models and cross sectional analysis is desirable. Prior experience in loss forecasting both in retail and wholesale portfolios is a must.
  • Ability to translate research into usable, value-added tools and information.
  • Knowledge of vended tools such as KMV Portfolio Manager, Risk Frontier, Risk Metrics, BondStudio, QRM is a plus
  • Strong knowledge of statistical software packages; previous experience in data mining
  • Extensive understanding of relational databases and ability to effectively utilize statistical software – SAS, Stata, and R.
  • Advanced programming knowledge in C, C++ or Excel VBA is helpful.  Knowledge of Matlab, S+, and relational databases are a strong plus
  • Very good communication skills, both verbal and written.
  • Motivated and able to work independently and in a team environment.
  • Positive attitude and demonstrates initiative and persistence.
  • Good listening and interpersonal skills.
  • Should possess unquestionable honesty and integrity, and intellectual curiosity.

Contact Matthew Gallira at Huxley Associates for details on this role, as well as similar positions open in the Boston financial space.