Model Development Role - Matlab/Python/R/SAS - BFS

Looking for People with model development experience with programming skills into (Matlab/Python/R/SAS)

Notice Period : Not More than 2 Months

Key Duties and Responsibilities :

- Develops statistical analysis to measure and model behavior of complex assets and liabilities.

- Lead risk management initiatives by developing statistical analysis to measure and model behavior of Complex assets and liabilities.

- Take ownership of model development of one or more assets on the balance sheet (Asset Mix includes Residential whole loans, GNMA pool buyouts, commercial loans, MSRs, non-agency Securities, etc.). Model development covers modeling of complex income streams.

- Model development covers modeling of complex income streams.

- Measure the dynamics of balance sheet behavior to changing macro-economic conditions.

- Leverage macro-economic fundamentals to explain behavior under changing economic conditions

- For the purpose of scenario analysis and stress testing.

- Liaison with management and financial risk analysts to deploy models within the construct of overall Balance sheet risk management framework.

- Analyze hedge activity, interest rate risk inherent in financial instruments managed at the bank, and

- Assist in engineering hedge programs.

- Leverage third party models where necessary to measure asset/liability behavior.

- Develop strategies to maintain data integrity and business workflow efficiency within Capital Markets

- And other departments.