Principal Data Scientist – Treasury Modeling

Locations: This role requires a hybrid work schedule at one of our primary New England Citizens hubs, including Johnston, RI; Westwood, MA; Boston, MA; or Medford, MA.

Citizens 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 the ALM 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 candidate who will develop, implement and maintain ALM and CCAR/PPNR models. 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 the ALM 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:

• 5+ years of hands-on experience using statistical analysis in the Treasury modeling space at a bank or consulting firm to support risk management, forecasting, and pricing
• Proficiency in analytical/model building programming languages including Python and R is essential, with a preference for R due to existing models built in R.
• Experience with standard prepayment (BlackRock, Black Knight, QRM, ADCO) or deposit (QRM, Novantas) models desirable
• Exposure to QRM, Banc ware, Empyrean, or similar bank balance sheet management software 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:

• Bachelors Degree required in mathematical finance, economics, mathematics, statistics or similar STEM field,  Graduate degree (M.S. or Ph.D.) desired. 

Pay Transparency

The salary range for this position is $130,000-$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 very local and state jurisdiction in the United States. For an overview of our benefits, visit https://jobs.citizensbank.com/benefits.

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Equal Employment Opportunity

Citizens, its parent, subsidiaries, and related companies (Citizens), provides 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,