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Treasury Quantititative Modeling Analyst

3.00 to 8.00 Years   Bangalore   10 Dec, 2019
Job LocationBangalore
EducationNot Mentioned
SalaryNot Disclosed
IndustryBanking / Financial Services
Functional AreaSales / BDFinance / Accounts / Tax
EmploymentTypeFull-time

Job Description

Responsibilities Tasks Include:

You will support development and maintenance of advanced quantitative models and tools that enable management to make informed decisions with respect to changes in liquidity, interest rate risk, income, and capital. Key responsibilities include:

  • Support development of quantitative methodologies using advanced statistical tools and analysis
  • Bringing creative modeling insights and the most advanced quantitative and statistical techniques to bear on complex financial modeling challenges including:, mortgage and other asset prepayment risk, yield curve dynamics, deposit behavior, and Funds Transfer Pricing (FTP) dynamics and PPNR stress testing
  • Ensuring proper modeling of asset products within the QRM ALM system and advancing market calibration methodologies with respect to interest rates, spreads, and volatility
  • Leverage extensive theoretical and practical knowledge of advanced data management methods and algorithms, understanding their utility and in different problem domains, and evaluating pitfalls
  • Write concise technical documentation, presenting defending results to independent Model Validation team, senior management, and regulators
  • Work with business units / business owners to understand modeling requirementsWrite technical documentation, present and defend results to management, internal clients and other key constituents, and independent Model Validation team
  • Work with the information technology group to document business requirements and to ensure methodologies are accurately implemented in production systems
  • Develop technology solutions for model performance monitoring and backtesting and to integrate new models into ongoing monitoring and backtesting framework
Job Requirements: Education and Experience:
  • Advanced degree in math, economics, statistics, or a related field
  • Candidates with FRM/FRM background preferred
  • 3 to 5+ years quantitative modeling aptitude/experience in financial institutions, with modeling experience across rates and structured credit and/or regression and other econometric techniques
Skills/ Knowledge:
  • Advanced programming proficiency in R, SAS, Matlab, Python and/or SQL
  • Strong control mindset, with proficiency in developing, evaluating and testing internal controls
  • Strong project management and time management skills and a demonstrated ability to work independently on complex projects
  • Strong verbal and written communication skills
  • Strong working knowledge of global financial systems and markets, including asset management, trading, and interest rate and liquidity risk, with knowledge of newer banking regulations preferredProficiency in Excel, programming languages a plus
  • Ability to communicate complex concepts to broad audiences, with strong verbal and written communication skills
  • Hands on experience in QRM or good understanding in QRM or any related platform is preferred
,

Keyskills :
funds transfer pricingbalance sheet liquidity riskstress testing interest ratesbusiness units data managementtime management

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