Job Description
Inviting applications for the role of Manager, Asset & Liability Models (ALM) and Treasury Modeling (Development/Validation) & Researcher Specialist
This position requires in-depth knowledge of financial markets, derivatives, risk management, and a proven track record in both model development and validation of ALM and Treasury models within a financial institution.
Responsibilities
You will be primarily working as a consultant for the centralized advanced analytics team of a banking or financial firm as Balance Sheet/IRRBB Model Development/Validation and Researcher Specialist. The role will require interacting with various business units including their risk, finance, controllership stakeholders etc. You will also be responsible for coordinating with auditors and model development or validation teams to ensure the Enterprise Modeling Governance standards are followed Your activities will include, but will not be limited to the following:
Provide analytical support for recommending actions to mitigate risk and use judgment-based decision-making regarding policies and procedures.
Assess the quality of the data for model development as well as inputs to the model, providing recommendations to improve the data quality at the source.
End-to-end development or independent validation of Asset & Liability models or Treasury models
Develop mathematical/statistical/financial models, rule fine tuning/optimization, testing, reviewing, and performing validation activities and prepare end to end model documentation.
Propose recommendations to improve monitoring systems and capabilities based on identified risk and control gaps.
Conducting in-depth research on existing and emerging policies and contributing to the creation of whitepapers. Researching and contributing to artifacts creation as required in a consulting role.
Qualifications we seek in you!
Minimum qualifications
Relevant years of experience in developing, validating models and risk management of mortgage (RMBS/CMBS/TBAs) prepayment models, other ALM behavioral models, liquidity risk models, IRRBB models, FTP models, etc.
Experience in CCAR / PPNR models will be preferred.
Term structure / Cashflow projection modelling exposure
Knowledge of various statistical techniques and coverage across different behavioralmodeling methodologies viz. regression, decision tree etc.
Good understanding and experience in regulatory risk modeling/validation - SR 11-7, liquidity guidelines, IRRBB guidelines, CCAR guidelines, etc
Working knowledge of Excel, Python, R, SAS, or MATLAB.
Post-graduate degree in a quantitative discipline degree / diploma in any of Finance, Financial Engineering, Quantitative Finance from reputed institutes.
Post-graduate degree / diploma in any of Statistics, Mathematics, Economics / Econometrics, Physics from reputed institutes with courses in Financial Engineering.
Undergraduate degree in Engineering from reputed institutes with courses in Financial Engineering and FRM / CQF certified.
Strong client management and communication/presentation skills - written & verbal.
Self-driven, proactive, 'can-do' attitude. Ability to work under ambiguity and with minimal supervision.
Strong project management experience and demonstrated expertise of communicating and coordinating across multiple business units.
Strong project management orientation with ability to work under time-sensitive commitments.
Lead projects and teams - provide thought leadership, technical guidance, training, and oversight.
Preferred qualifications
Strong networking, negotiation and influencing skills.
Exposure to any treasury system such as Murex, Calypsoetc. or market data providers such as Bloomberg and Reuters.
Exposure to vendor-based tools like, ADCO models, would be a plus
Working knowledge and report building skills in any of Tableau, PowerBI,other visualization tools is a plus
FRM or CQF certification is a plus