
Description : We are hiring for a leading Investment bank based at Mumbai
Experience :
- 5-9 yrs in Model Development/Model Validation for PPNR Models treasury models/ IRBB / with good Python programming skills
- Education : Masters / MBA; in Economics, Mathematics, Statistics, Finance, Computer science From Tier 1 with good knowledge in Quant/ Treasury Models/ Liquidity models
Role & Responsibilities :
- Developing Treasury Models/ PPNR/ IRBB/ Interest risk
- Development of econometric forecasting models for key Balance sheet and income statement line items for capital and business planning purposes
- Manage the model life cycle from first line of defense perspective and participate in Segmentation.
- Developing best in class treasury and liquidity models using industry leading model development frameworks & methodologies, work in a global quant team,
- End-to-End model development includes econometric forecasting models for key Balance sheet and income statement line items for capital and business planning purposes.
- Hand on experience in Model Development and/or Model Validation (core development experience preferred)/Model Implementation.
- Experience in IRRBB, RRP, TWD, Hegde accounting, Liquidity Modelling, FX rate risk, ICAAP VAR model, Balance-sheet Modelling, Cash Flow Forecasting
- Contribute to model convergence initiatives as part of firms Transformation journey for different businesses.
- Domain knowledge and experience in PPNR, Fixed Income Securities, Mortgage Modeling, Deposit Modeling, Asset Liability Management, Interest Rate Risk,
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