- Work closely with Treasury business units to understand business needs and determine appropriate modeling approaches on the Quantitative Risk Management (QRM) ALM platform
- Implement appropriate financial models within QRM for banking products and securities
- Serve as liaison with third party software vendors and internal modelers to ensure proper modeling and system support
- Stay up to date on market developments and product modeling trends and ensure these are reflected in QRM modeling
- Develop interfaces between QRM and internally developed models, data & platforms
- Test and confirm that QRM models produce representative results including attribution of model variances
- Become a subject matter expert on QRM architecture
- Complete ad-hoc assignments as needed, and demonstrate willingness to work collaboratively with other team members to meet departmental objectives on or ahead of schedule
Qualifications:
- Advanced degree in quantitative discipline or related field
- 3+ years quantitative experience in large financial institutions with aptitude/skills and experience modeling complex financial instruments and banking products in ALM platforms
- Experience working with the Quantitative Risk Management (QRM) or similar asset/liability management software, with strong preference given towards experience in interest rate risk
- Experience working with third party software vendors and internal IT staff to ensure appropriate implementation of QRM and modeling solutions
- Project and time management skills, and a demonstrated ability to work independently or collaboratively on complex projects
- Strong verbal and written communication skills
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