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.

Additional Information

All your information will be kept confidential according to EEO guidelines.