Asset Liability Management Analyst recruitment
Responsibilities:
• Analysis Reporting of monthly the balance sheet’s interest rate risk and liquidity risk position to senior management with clear explanation of key drivers for changes in risk profile
• Develop models, validate existing models and perform benchmarking, stress testing, and scenario analysis
• Research and implement best practices to model securities, derivatives, and financial assets
• Assess and quantify model risk according to regulatory and internal policy guidelines
• Partner with Business Lines and Treasury teams to incorporate balance sheet and model assumptions, and analyzing and reporting our interest rate risk position on a monthly basis.
• Assist Asset Liability Management and Balance Sheet Strategy teams to develop ALM strategies.
Requirements:
• 1+ years Market Risk / ALM experience, with solid understanding of rate risk concepts like Duration, Convexity, Asset/Liability sensitivity, Basis Risk, etc.
• Understanding of financial asset valuation principles (loans, securities, and derivatives) as well as market/liquidity risk analytics
• Leading platform knowledge such as QRM, Bancware, Sendero, Kamakura, Algorithmic, Numerix, RiskMetrics, Polypath, SavvySoft, Musketeer
• Strong communication skills
• Master’s degree in a quantitative discipline (e.g., statistics, physics, math)
For immediate consideration, please forward resume and contact details to: info@ashtonlanegroup.com
Ashton Lane Group is a boutique executive recruitment firm serving the Banking, Insurance, and Alternative Investment sectors. For the latest opportunities, visit www.AshtonLaneGroup.com
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