Sr Quant Rate Risk Analyst Job
Sr Quant Rate Risk Analyst (Job Number: 1313155)
Description
This position reports to the Head of Interest Rate Risk, Asset Liability Management within Market Risk. The incumbent will be responsible for developing, implementing and maintaining structural interest rate and liquidity risk analytics that measure, monitor, and report on the bank's asset-liability positions, interest rate risks, earnings sensitivities and other key risk metrics related to liquidity, regulatory and economic capital. The role will be a hands on role where the individual will be expected to conduct mortgage prepayment, interest rate term structure and balance sheet (deposits, fixed income securities including structured mortgage products, loans, lease, derivatives, etc.) cash flow behavioral modeling and calibration using vendor software.
Qualifications
Bachelor's degree. in finance, econometrics, operations research, mathematics, statistics, or engineering. Masters Degree or Ph.D. in finance, econometrics, operations research, mathematics, statistics, physics or engineering or MBA, CFA with a quantitative bachelor's degree preferred. 3-5 years experience of risk or financial modeling experience. Familiarity with asset liability management software (QRM, Kamakura, Bancware) or/and market risk management software (ALGO, Riskmetrics) and related modeling techniques. Experience with ADCO, INTEX, Blackrock. 5-10 years experience in Corporate Treasury or Market risk Management preferred. 3-5 years of risk or financial modeling experience including mortgage prepayment modeling preferred. Experience with asset liability management software (QRM, Kamakura, Bancware) or/and market risk management software (ALGO, Riskmetrics) and related modeling techniques preferred. System savvy with excellent PC skills including MS Suite (Excel, Access, Powerpoint, Word) as well as familiarity with relational databases (SQL server) and quesry tools (SAS, SQL Analyzer).
Primary Location: New York, NY, US
Internal Jobcode: 32136
Job: Audit/Compliance/Risk
Organization: Risk-HR06016
Leave a Reply
You must be logged in to post a comment.