Vice President - Statistical Modeling - Asset Liability Management/Treasury Vertical - BFS

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.