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Job Description
Senior Manager-Deposit Modeling is a newly created role within the centralized Financial Model Development (FMD) Team. The Deposits Modeling Senior Manager will be responsible for developing and maintaining the firm's Deposit Modeling Framework (Deposit Forecasts, Non-Maturity Deposit modeling, Decay and Duration Deposit analysis and EVE and NII Deposit Analysis). This role is responsible to design and develop Deposit pre-provision net revenue (PPNR) models used in bank stress testing (CCAR) and in Business as Usual (BAU) forecasting processes. The team member will work closely with the business units, finance, ALM/Liquidity and Capital Markets teams to build models that are fit for Treasury, FP&A and Finance needs. The candidate will support Head of Financial Model Development (FMD) and Director of Deposit Modeling in Deposit forecasting, business as usual modeling, and analysis around capital, ALM/Liquidity, Stress Testing, Recovery and Resolution, FTP and other business and regulatory exercises. The leader will be responsible for establishing a fit-for-purpose models, with strong governance, analytics and documentation that aligns to SR 11-7 and SR 15-19. This is an individual contributor role that over time will grow in responsibility.
Responsibilities
Develop and manage deposit forecasting and modeling framework and will be required to build forecasting and econometric models from the ground up or redevelop existing models
Model Non-Maturity Deposit (NMD) behavior, including interest rate models for NMDs, future trend on balances of NMDs, Interest Bearing Deposits and Non-Interest-Bearing Deposits and Servicing costs associated with NMDs and ECRs
Use Quantitative and Qualitative methodologies to model deposit behavior, forecasts, stressed assumptions, pricing assumptions, deposit duration and deposit decay.
Model volumes and balances of different deposit types and thoroughly understand deposit behavior, product characteristics and stress assumptions
Model and report Deposit NII sensitivity, Earnings-at-Risk (EaR) / EVE over various time horizons and assumption scenarios and deposit duration and cohort analysis. Understand the impact of deposit behavior on the risk management and profitability of a bank, the underlying deposit modeling assumptions for net interest income (NII) simulation, valuation, and funds transfer pricing (FTP)
Conduct specific aspects of the model development life cycle. The model development life cycle includes data acquisition, assessing data integrity, model development, documentation, implementation assistance and assisting with closing assurance provider issue related to the model.
Assist in leading and developing an effective team through communication, performance management, development plans and reward & recognition practices. Cultivate an environment that supports diversity and reflects SVB values.
Runs global large-scale macroeconomic vendor models (i.e., Moody's Analytics, Markit Macroeconomic Advisors, Adecco/Aladdin, Empyrean, Oxford Economics etc.)
Working with business partners to provide financial and technical analysis and recommendations regarding current and/or proposed PPNR deposit models; working with businesses, risk, and finance teams to submit and validate data and analyze the consolidated results; production of the final regulatory 14A submission and data quality assurance of the submission; and partnering with other CCAR teams such as documentation, process or review and challenge to provide and analyze results.
Key contributor to firmwide deposit modeling and pricing analysis
Support ALM team in Funds Transfer Pricing (FTP) framework
Partner with engineering, data, and other technical resources of the firm to automate modeling and reporting requirements
Support Treasury group with their analytical needs
Support development, enhancement, and implementation of the deposit modeling
Requirements
9+ years of relevant business/academic experience in Quantitative modeling and model development, model implementation, or model validation experience. Strong understanding of model development processes as well as differences between Quantitative and Qualitative model approaches
Expert knowledge of deposit modeling approaches for wholesale deposits at large financial institution. Expert knowledge of NMD and IBs deposit integrated framework for the valuation, interest rate risk quantification, and funds transfer pricing of non-maturing deposits (NMD). To understand the impact of rates and economic variables on the various behavior factors that drive deposit behavior, a bottom-up statistical analysis of the underlying data must be performed.
Understands the impact of deposit behavior on the risk management and profitability of a bank, the underlying deposit modeling assumptions for net interest income (NII) simulation, valuation, and funds transfer pricing (FTP)
Understanding of Basel III Liquidity Coverage Ratio (LCR) and the Net Stable Funding Ratio (NSFR) require a detailed understanding of NMD behavior and FTP impacts
Prior experience at CCAR filing institution or Large Financial Institution (LFI) presenting to regulators, model validators and auditors modeling methodology and model development decisions and documentation. Including Management presentation materials and effective challenge
7 to 10 years of related experience in a Commercial Bank, including: quantitative modeling, behavioral modeling, fixed income security analysis, financial modeling, computer programming and database development; or a combination of education and experience.
Knowledge of model forecasting and statistical modeling approaches such as linear regression model, time series, and error-correction models, GARCH (OLS, VAR, Cointegration, etc.)
Ability to program in statistical/mathematical programs such as SAS, R, Python, RATS, STATA etc.
Result oriented, team player, can deliver on time under pressure, attention to detail, well organized, and able to complete tasks independently to high quality standards
Ability to prepare and present reports and presentations to all levels of stakeholders
Expert knowledge of SR 15-19/18 and SR 11-7 regulatory guidance for model risk management, CCAR stress testing and regulatory capital
Master's degree in highly quantitative and analytical fields such as statistics, economics, econometrics, applied mathematics, physics, quantitative finance or related field is required. A PHD, MFE, MS, MBA and/or CFA is preferred.
A solid understanding of mortgage, consumer, and commercial loans, and retail and wholesale deposits and borrowings.
Expert understanding of ALM theory and practice Strong communication and interpersonal skills, self-motivated/results-oriented, with the ability to function effectively with deadlines and work within a team environment with minimal supervision.
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Equal Employment Opportunity
Silicon Valley Bank is an equal opportunity employer and is dedicated to expanding its commitments and investments to create a more diverse, equitable and inclusive company culture and innovation ecosystem. We are strongly committed to the values and policy of equal employment opportunity across our employment practices.
Silicon Valley Bank UK Limited is registered in England and Wales at Alphabeta, 14-18 Finsbury Square, London EC2A 1BR, UK (Company Number 12546585). Silicon Valley Bank UK Limited is authorised by the Prudential Regulation Authority and regulated by the Financial Conduct Authority and Prudential Regulation Authority (Firm Reference Number 543146). Details about the extent of our regulation by the Prudential Regulation Authority are available from us on request.
