QRM Developer/ Modeler

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.