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.