• Senior Quantitative Analyst

    Job Locations
    US-CA-San Francisco

    Senior Quantitative Analyst
    San Francisco, CA


    At First Republic, we care about our people. Founded in 1985, we offer extraordinary client service in private banking, private business banking and private wealth management. We believe that personal connections are everything and our success is driven by the relationships we form with our colleagues and clients. You’ll always feel empowered and valued at First Republic.


    Incredible teams doing exceptional work, every day
    In Finance, we’re responsible for the Bank’s financial health. We work with teams across First Republic to set growth strategies, explore initiatives, stay ahead of market trends, monitor risk and ensure compliance with the latest regulatory requirements.


    Common goals, uncommon potential


    The candidate should have excellent programming skills in R and SQL. The person will develop credit loss models to meet the FASB ASU 2016-13 accounting standards, which is aka Current Expected Credit Loss (CECL) and fundamentally changes the way U.S. financial institutions calculate and hold allowance for loan and lease losses (ALLL). The candidate will be an integral member of the Finance department.


    What you’ll do as a Senior Quantitative Analyst:

    • Start-to-finish development of credit loss forecasting models in R for CECL purposes. This includes writing of code, the training / fitting of the model parameters, and working with model validation team.
    • Independent model testing including evaluation of mathematical soundness, developmental evidence, historical performance, statistical testing, back testing, model benchmarking, and appropriate sensitivity analyses
    • Full documentation of the model development process, any associated testing performed, any and all modelling assumptions (particularly management assumptions), and relevant control and governance processes surrounding the model.
    • Respond to model scrutiny and inquiries from both internal and external validators as well as federal regulators to ensure conceptual soundness, model accuracy, and robustness.
    • Team work is essential for the position. Challenge and validate models created by other members of the Finance team or other departments throughout the bank.
    • Assist in data collection, extraction, scrubbing, validity and sanity checks, transformation, and validation for a variety of projects.
    • Perform other ad-hoc data analysis including business intelligence on customer behaviors, general business support through data collection and processing.
    • Proactively identify opportunities for efficiencies and improvements to processes and controls
    • Significant cross-departmental and senior management exposure and interaction. Strong communication and interpersonal skills and ability to explain complex modeling techniques to the management team
    • Maintain knowledge of changes in the regulatory environment to help the team manage the dynamism in the industry.
    • Perform duties & responsibilities specific to department functions & activities.
    • Performs other duties & responsibilities as required or assigned by supervisor.


    You could be a great fit if you have:

    • This senior position is for Current Expected Credit Loss (CECL) model development, test, and implementation
    • Advanced degree in data science, statistics, engineering, applied mathematics, economics, finance or a related field
    • Ability to work independently (with minimum guidance), also as a team player
    • Advanced credit loss modelling and analysis in R and RStudio
    • Designing, development, and running loss forecast models for CECL process for commercial and/or residential portfolios
    • Heavy database work in SQL Server, rigorous assessment of data quality and assumption relevance
    • Independent testing and evaluation of models in order to demonstrate model accuracy, robustness, and stability
    • Great visibility and frequent interaction with senior management
    • Cross-departmental exposure and collaboration on many diverse projects
    • 3-5 years of relevant experiences is required (a) working within a financial services-related institution creating credit risk models using a large dataset of loans (b) applying statistical and programming knowledge using R and SQL; and (c) working with large relational databases, writing queries and/or stored procedure
    • 2+ years of experience collaborating with other programmers or analysts in Git or Github environment. Experience can be concurrent
    • Candidate must be team-oriented, able to juggle multiple tasks, and comfortably work and deliver high-quality results under tight deadlines
    • Ability to write high-quality model document

    Own your work and your career — apply now
    Are you willing to take initiative and make decisions? Are you willing to go the extra mile because you love what you do and how you can contribute as a team? Do you want the freedom to grow and the opportunity to take charge of your own career? If so, then come join us.


    We want hardworking team players. You’ll have the independence to learn, lead and drive change. A culture of extraordinary service, empowerment and stability — that’s the First Republic way. Come join us!


    Pursuant to the San Francisco Fair Chance Ordinance, we will consider for employment qualified applicants with arrest and conviction records, to the extent consistent with applicable federal and/or state law.


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