Assistant Vice President - Treasury Model Development - Investment Bank

We are hiring for Investment Bank based out of Mumbai location

Experience: 5-12 years

Tier1 or Tier 2 passout

Skills:

1. 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

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

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

4. Hand on experience in Model Development and/or Model Validation (core development experience preferred)/Model Implementation.

5. Experience in IRRBB, RRP, TWD, Hegde accounting, Liquidity Modelling, FX rate risk, ICAAP VAR model, Balance-sheet Modelling, Cash Flow Forecasting.

6. Ability to guide juniors team members on projects

7. Programming Skills: Python/ C/C++

Educational Qualification: Masters or PhD (or similar) in a quantitative subject such as Mathematics, Physics, Economics or Finance, or a track record of performance that demonstrates this ability