QRM Developer/ Modeler

ArkaInfotechInc

New York, NY, United States contract

Posted: September 18, 2015

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Quick Summary

Develop QRM model for Asset & Liability Management, supporting external IRRBB reporting and risk analysis.

Required Skills

QRM ALM Interest Rate Risk Treasury Hedging Financial Modeling Model Development Model Validation Risk Analysis Expert Management

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.

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

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