Tools : Python, R, SAS, Scala, Spark, Hive, Pig, Impala, Hadoop, Teradata, SQL, Java, Jira, Bitbucket, TeamCity etc.
Techniques : Regression (linear/logistic), time series, forecasting, decision tress, Machine/Deep learning, neural network etc.
Domain : Retail and Wholesale
Functions : Risk, Finance and Treasury
- Quantitative domains - model development, model monitoring, model data and execution, model validation, model risk management.
- Expertise on data analysis, theory and statistical techniques.
- Knowledge of financial services products and regulatory landscape.
- Experience in model data and execution capability build
- Support, develop, calibrate and monitor statistical balance sheet projection models required by clients Treasury.
- The primary role of the Asset & Liability management team is to develop and deploy industry leading statistical models for balance sheet evolution under different macro-economic scenarios.
- The projection models apply across the whole of bank balance sheet of client. These models are key components for prepayment modelling for Interest Rate Risk on the Banking Book (IRRBB), lifetime expected loss calculation for IFRS9, Comprehensive Capital Analysis and Review (CCAR) and clients Funds Transfer Pricing system.
- Contribute to and develop statistical banking book product models, in order to maintain internal approvals for use
- Validate performance of new models; develop and deploy model monitoring scripts
- Maintain model documents to required standards
- Manage parts of complex projects, liaising with stakeholders to ensure project progress
- Motivate team members and junior staff to deliver high quality output within tight deadlines
- Manage stakeholder expectations with respect to dependencies and deliverables
- The job requires strong analytical skills and ability to communicate technical information clearly in written and verbal form.
- Ensure that all activities and duties are carried out in full compliance with regulatory requirements, Enterprise Wide Risk Management Framework and internal clients Policies and Policy Standards
Didn’t find the job appropriate? Report this Job