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Manager/AVP/Vice President - Model Development - Time Series - Linear Regression - Investment Bank (9-12 yrs)
Job Description
AVP/VP - CCAR Financial Planning & Analysis
Description
As a part of the CCAR Team, the AVP/VP will manage all CCAR initiatives and submissions through data capture, consolidation, transformation, reconciliation and analysis.
The responsibilities include:
- Development of econometric forecasting models for all significant balance sheet assets and liabilities for capital and business planning purposes. This includes the calculation of Net Interest Income (- NII- ), which is also referred to as Net Interest Revenue (- NIR- ), Interest Rate Exposure (- IRE- ), Economic Value Sensitivity (- EVS- ), and other associated interest rate risk metrics.
- Development, documentation, and testing of product models needed as input to Financial Planning and Risk Management forecasts.
Qualifications - M.Sc - Statistics
Other requirements:
- 9 - 12 years of relevant finance/business/accounting/statistical experience in financial services
- MBA/Masters in Economics, Finance, Accounting or related discipline
- Expertise in Stochastic Modeling Approaches, Modern Risk Management Theory and Modern Financial Theory
- Experience developing econometric and multivariate regression models. Good understanding of Seemingly Unrelated regression, Panel Data regression, and Fixed effect models
- Extensive hands-on experience in programming and modeling using SAS
If interested, to explore this opportunity - Please get in touch
Hetal
022 66848548
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