Banking Book Liquidity ALM/QRM
$150k - $160kLinium Resources
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
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