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QRM Developer / Modeler

QRM Developer / Modeler

Arka Infotech IncNew York, NY, US
6 hours ago
Job type
  • Full-time
Job description

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.

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