QRM Developer/ Modeler

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.