VP - Independent Model Review/Market Risk/Treasury - BFS

VP - Independent Model Review/Market Risk/Treasury

Requirements:

- Liquidity risk, IRBB, ALM Models, , cashflow

- Pricing, derivatives mandate

- Need exp in model validation or model development

- Python or C++

- NO reporting, no data, no research etc

- IC role

- Master degree mandate

- Only from investment banks or consulting firms

- Independently review and mentor juniors in model validation pertaining to Asset Liability Management models (Liquidity and IRRBB) including Net Interest Income (NII) modeling, Economic Value of Equity (EVE) modeling, Prepayment modeling, Cash flow forecasting of various asset classes, LCR/NSFR computation and Funding ratio analysis etc.

- Review Pricing Models - Derivatives/ Product Control and hedging models, Structural Interest rate risk, Multi - Curve construction, OIS discounting and Earning at Risk

- Demonstrate strong understanding of various econometric and time series models to forecast Deposits Stability/Run-Off, Portfolio Balance and Interest Income/Expenses

- Hands-on experience with vendor systems such as QRM, PolyPaths, Murex, Bloomberg etc.

- Programming experience in Python, R, C++ etc.

- Understanding of various stress testing models such as CCAR/PRA and various other mandatory regulatory expectations for US such as SR 11-7