QRM Developer/ Modeler

OverviewPosition: QRM DeveloperLocation: NYC, NYDuration: 6-12 monthsThe Successful QRM Modeller/Developer will be required to develop the QRM model across multiple banking divisions for use in Asset & Liability Management.ResponsibilitiesDevelop 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.QualificationsThorough 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 InformationAll your information will be kept confidential according to EEO guidelines.J-18808-Ljbffr