Banking Book Liquidity ALM/QRM

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.

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