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 modelsGood understanding of interest rate risk for banking book productsStrong Treasury product knowledge - interest rates, NII, Earnings at Risk etcGood understanding of hedging market and liquidity riskExperience of developing financial models.Additional Information
All your information will be kept confidential according to EEO guidelines.
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