Description

You will own the end-to-end development, governance, and support of models within the treasury and IRRBB space.

Responsibilities

• Develop econometric forecasting models for balance sheet and income statement line items to support capital and business planning.
• Calculate key interest rate risk metrics including Net Interest Income (NII), Non-Interest Revenue (NIR), Interest Rate Exposure (IRE), and Economic Value Sensitivity (EVS).
• Manage model governance by preparing and submitting documentation such as MDDs, AMRs, OPAs, MCAs, and LRCs to Model Risk Management.
• Maintain a comprehensive modeling system to ensure consistent data quality, auditing, back-testing, and annual validation.
• Present technical findings to stakeholders and align with Model Risk Management on validation practices.

Required Skills

• 6-8 years of statistical modeling or econometrics experience within the financial domain.
• Expertise in Python and related packages, including GitHub and DataFlame.
• Deep understanding of statistical techniques including Linear/Logistic Regression, Time Series, Panel Regression, Error Correction Models, Seemingly Unrelated Regression, and Cointegration.
• Practical experience with Machine Learning techniques and AI tools like ChatGPT or Copilot.
• Proficiency in SQL and MySQL for database management.
• Strong domain knowledge in Asset Liability Management, Interest Rate Risk, Capital Planning, Fixed Income Securities, and Mortgage or Deposit modeling.
• Ability to synthesize quantitative and qualitative data to drive decision-making.
• Proven ability to manage multiple projects and lead cross-functional relationships.

Preferred Skills

• Working knowledge of SAS, R, or Excel VBA.
• PG, Masters, or PhD in Statistics, Economics, Mathematics, or a related quantitative discipline.
• FRM or CFA certifications.

Key Skills

Education

Any Graduate