jobseeker Logo
Now Apply on the Go!
Download iimjobs Jobseeker App and get a seamless experience for your job-hunting
23/10 Dhara
Consultant at Black Turtle

Views:4797 Applications:79 Rec. Actions:Recruiter Actions:48

Quantitative Analyst - Asset & Liability Management Firm (10-16 yrs)

Noida Job Code: 757323

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.

Women-friendly workplace:

Maternity and Paternity Benefits

Add a note
  • Apply
  • Assess Yourself
  • Save
  • Insights (Read more)
  • Follow-up
    (Read more)
Something suspicious? Report this job posting.