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Quantitative Analyst - Asset & Liability Management Firm (10-16 yrs)
Vice President - Location Strategy - ALM
This is a quantitative analyst role within QA Asset & Liability management with responsibility for:
- Design, build and deliver robust and production quality statistical models and code within a unified library for use within Treasury,
- Assist with the systematic review and on-going assessment of existing models for forecasting asset and liability behavioral balances.
- Support quantification of funding and capital plans, forward-looking impairments and pricing of liquidity and funding risk associated with the bank's asset/liability profile.
- Support model development for quantification of interest rate risk on the banking book.
What will you be doing?
- Deliver high-quality documentation and presentations to support and maintain model and library use.
- Facilitate and challenge discussion of modeling options with senior model owners.
- Assist with the development of statistical models for the projection of balance sheet under different macro-economic scenarios
What we- re looking for:
- Post graduate degree in a quantitative discipline with a statistics component, preferably to PhD level.
- Strong industry experience in quantitative finance.
- Strong understanding of statistical and econometric modeling techniques - e.g. time series analysis, regression models and various estimation techniques.
- Able to deliver to tight deadlines on quantitative projects, and manage the end to end process of model delivery.
- Proficient in Python (preferred) or R.
Skills that will help you in the role:
- Strong experience in designing and developing statistical and econometric models.
- Experience in analyzing large volumes of data including cleaning and subsequent pattern identification and clustering.
- Knowledge of EAD, PPNR and stress testing modeling.
- Knowledge of relevant regulatory guidelines for CCAR, IFRS9 and IRRBB.
This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.
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