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Form of work Company Description
Banking Book Asset and Liability Management is looking for individuals to join its Americas Modeling and Analytics group. The group's responsibilities include:
- The development and ownership of modeling methodology for Banking Book positions, this includes both Earnings at Risk and Economic Value of Equity methodologies.
- Development and implementation of BB ALM's tool of choice, Quantitative Risk Management (QRM).
- Documenting the methodology and QRM implementation adherent to internal and regulatory standards.
- On-going enhancements to BB ALM's reporting and analytical capabilities, ensuring full decomposition and attribution of drivers of change across IRR metrics.
- Supporting BB ALM and firm strategy through ad-hoc analysis.
Job Description
The expansion of BB ALM's deliveries involves:
- Modeling of Contractual Economics.
- Modeling of Behavioral Economics.
- In-depth understanding of EaR and EVE the drivers behind sensitivity.
- Understanding of the opportunity cost of a dollar/euro.
- Resource allocation a.k.a Efficient Frontier of Funding.
BB ALM will execute these deliverables by:
- Leveraging QRM software to implement modeling methodologies into consolidated view(s) of balance sheet.
- Developing in-house models to better capture going-concern nature of the firm's stable businesses (e.g. enterprise deposit modeling).
- Developing analytical tools to quantify opportunity cost of a dollar/euro by division/product.
- Becoming firm SME/COE for EaR and EVEaR, with understanding of impacts to capital.
Qualifications
- Minimum 2, preferably greater, years of experience with QRM for ALM Modeling purposes.
- Strong background/understanding of Balance Sheet/Product Modeling
- Intimate knowledge of EaR and EVEaR analysis and reporting.
- Intimate knowledge of data/data requirements for Balance Sheet/Product Modeling and ETL logic.
- Understanding of markets, particularly IR, FX, Basis; term-structure modeling a plus.
- Experience with additional modeling tools, (SQL, SAS, Matlab, Python).
Additional Information
All your information will be kept confidential according to EEO guidelines.
$150-160K DOE
