VP - ALM / Treasury
- 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 behavioural 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.
Qualifications :
- 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 modelling 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.
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