SAS Time Series Modeling - Bank

The Asset and Liability Management Unit is responsible for developing sophisticated forecasting models used for business forecasting and as input to the annual regulatory forecasting (CCAR) process.

- Development of econometric forecasting models for all significant balance sheet assets and liabilities.

- Development, documentation and testing of product models needed as input to Financial Planning and Risk Management forecasts.

- Develop and maintain a comprehensive modeling system that maintains consistent approach to data quality and modeling methods, audit, back test, tracking, annual validation. This is critical in reducing the model operating risk

Required:

- Advanced degree in quantitative related field - statistics, computer science, economics, finance or applied mathematics

- 3-4 years of relevant finance/business/accounting/statistical experience in financial services

- Time Series Modeling & ARIMA experience is must.

- Expertise in Term Structure Analysis, Stochastic Modeling Approaches, Modern Risk Management Theory and Modern Financial Theory

- Experience developing econometric and multivariate regression models.

- Extensive hands-on experience in programming and modeling using SAS.

- Experience in analyzing and normalizing very large data sets of account-level data as model inputs

Key skills:

- Statistical Modeling or Linear or Logistic Regression or SAS or Time Series or Marketing/Risk Analytics

Akshit