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.

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