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.
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