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.