Assistant Vice President - Quantitative Analyst

Treasury Models (Deterministic Model):

- You must have knowledge of the following in Risk / Finance / Quant Modelling (across at least some of the these)

- Treasury Risk (Interest Rate Risk of Banking Book-IRRBB), Liquidity Modelling (TWD/Unwinding of securities and balance sheet resolution/RRP), Hedge accounting (cashflow management for testing IFRS and GAAP accounting), ICAAP VAR Model (Interest Rate Risk of banking book for VAR), PRA110 liquidity reporting, Model Implementation.

- Treasury Models (Statistical Model):

- You must have knowledge of the following in Risk / Finance / Quant Modelling (across at least some of the these)

- Treasury Risk (Interest Rate Risk of Banking Book-IRRBB), Liquidity Modelling (TWD/Unwinding of securities and balance sheet resolution/RRP), Hedge accounting (cashflow management for testing IFRS and GAAP accounting), ICAAP VAR Model (Interest Rate Risk of banking book for VAR), PRA110 liquidity reporting, Model Implementation

- Hands on coding experience (as a full-stack developer / agile developer etc.

- Preferable language is Python, C/C++ etc).

- 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.