Position: QRM Developer
Location: NYC, NY
Duration: 6-12 months
The Successful QRM Modeller/Developer will be required to develop the QRM model across multiple banking divisions for use in Asset & Liability Management.
The Successful QRM Modeller/Developer will be responsible for the following:
· Develop modelling in support of external IRRBB reporting (FSA017, Stress Testing, Pillar 2 and 3)
· Develop risk modelling in support of reporting and MI for ALCO, BSMC and other governance committees.
· Enhancement of ALM modelling and analysis methodology.
· Ensure that there is alignment between the ALM model and the financial planning process.
· Ensure that updates for the QRM forecast and plans for assumptions are maintained and validated.
The right QRM Modeller/Developer will have experience in the following:
· Thorough knowledge of and experience of using QRM.
· Experience in ALM products and how to develop and validate models
· Good understanding of interest rate risk for banking book products
· Strong Treasury product knowledge - interest rates, NII, Earnings at Risk etc
· Good understanding of hedging market and liquidity risk
· Experience of developing financial models.
All your information will be kept confidential according to EEO guidelines.