Vice President - Liquidity Risk Model Validation

Vice President - Liquidity Risk Model validation

Responsibilities:

- Independently review and mentor juniors in model validation pertaining to Asset Liability Management models (Liquidity and IRRBB) including Net Interest Income (NII) modeling, Economic Value of Equity (EVE) modeling, Prepayment modeling, Cash flow forecasting of various asset classes, LCR/NSFR computation and Funding ratio analysis etc.

- Review Pricing Models- Derivatives/ Product Control and hedging models, Structural Interest rate risk, Multi - Curve construction, OIS discounting and Earning at Risk

- Demonstrate strong understanding of various econometric and time series models to forecast Deposits Stability/Run-Off, Portfolio Balance and Interest Income/Expenses

- Hands-on experience with vendor systems such as QRM, PolyPaths, Murex, Bloomberg etc.

- Programming experience in Python, R, C++ etc.

- Understanding of various stress testing models such as CCAR/PRA and various other mandatory regulatory expectations for US such as SR 11-7

Knowledge:

- Knowledge of the following areas: Asset Liability Management models (Liquidity and IRRBB) including Net Interest Income (NII) modeling, Economic Value of Equity (EVE) modeling, Prepayment modeling, Cash flow forecasting of various asset classes, LCR/NSFR computation and Funding ratio analysis Comprehensive knowledge of statistical model and scorecard development techniques, Pricing Derivatives etc.

- Detailed knowledge of Risk models, performance metrics and risks and associated issues.

- Detailed knowledge of internal procedures and local regulations and those of other country regulators.

Experience:

- Experience with some statistical modelling software / programming language e.g. SAS, Python, R, C++, VBA.

- Experience of developing and reviewing models

- Experience of presenting recommendations to Senior Management.

- Experience of conducting independent model reviews.

Qualifications:

- Master's or PhD degree in a quantitative discipline like Financial Mathematics, Statistics, Econometrics, Quantitative Finance, Economics or Engineering.