Liquidity Modeler

DFIN's Asset and Liability Management Department (DFIN/ALM) in in charge of the following activities:

• Maintains and provides Liquidity Expertise for the Americas Region
• Liquidity model ownership, including model design and calibration (first line of defense)
• 2nd level review and explanation of Liquidity Dashboard and Reporting exposures - including regular presentation of the report to Management and the business lines
• General Secretary of the ALCO - Ensures it is regularly held, prepared and properly minuted
• Scarce Resources Steering - proposes and monitors liquidity targets and limits
• Adherence to Liquidity Regulatory Requirements
• Liquidity and funding risk management and execution
• Conducts balance sheet monitoring, associated limit framework monitoring and structural risk monitoring
• Reviews major strategic initiatives that would have significant impact on balance sheet structure and risk

ALM is seeking to add a Liquidity Modeler to their team in the near future. Day-to-day responsibilities will include, but not be limited to:

• Annual Model Review:  support of annual model review, including updating and adding to existing models and documentation.  Provide high quality documentation with quantitative and qualitative explanation of the models, their implementations and the business behavior.
• Ad hoc portfolio and (stressed) balance sheet analysis.  Stress test by business line analysis.
• Weekly review of LST results, including all drivers of stressed balance sheet, and commentary for presentations of the LST
• Driving liquidity modeling projects, including the following efforts:
  • Participate in the design and implementation of the models and (large) data set analytics, usually Excel-based.
  • Describe modeling and liquidity risk in documentation (Power Point, Word formats)
  • Test and validate the models implemented including unit tests and non-regressions tests
  • Enhance business line analysis of stress testing
  • Collaborating with Treasury, Second Line of Defense (2LOD) / Risk department, various business lines, Operations to ensure completeness and accuracy of the business being modeled
  • Collaborating with Liquidity Reporting, IT, Data Quality and other functions supporting the implementation of the models

Technical Skills: 

• Established knowledge in one or more types of funding or asset product lines (Deposits, Loans, Secured Funding, FCM, Prime Brokerage), or extensive Accounting / Balance Sheet knowledge
• Excel Skills:  Data management, Pivot Tables
• Ability to translate technical modeling and business line analysis into various written formats, succinctly and clearly 

Desired / Plus: 

• Applied Math or Data Analytics, Data Science, Statistics and time series analysis skills
• Skilled in programming using an Object-Oriented Language (e.g, Python)
• Prior experience in either ALM / Treasury / Business line (e.g., Capital Markets or Loans) departments
• Knowledge of IT modeling tool (In-house:  FARMS; External: QRM)

Competencies: 

• Strong written and verbal communication skills with ability to interface with key partners
• Leadership, project management, and effective liaison between business, quantitative research and technology teams.

Experience Needed:

• 2-5 years of industry experience
• Financial Balance Sheet knowledge

 Desired / Plus: 

• Prior liquidity / capital stress testing, or IRRBB modeling

Educational Requirements:

• Undergraduate or Master's Degree in one of the following areas Accounting, Business, Finance, Mathematics, Engineering, or Computer Science