• Senior Lead - Asset Liability Management - Quant Analytics Group - Investment Bank Jobs in Noida,India

  • Edge In Asia Recruitment Private Limited
  • Save Job
  • 8 - 15 Years
  • Posted : above 1 month

Job Description:

Our client is an International Investment Bank with a strong Global presence, looking to expand their Quant Analytics group in the Asset and Liability Management space

Some of the key responsibilities will include

- The primary role of the team is to develop and deploy industry leading statistical models for balance sheet evolution under different macro-economic scenarios

- The projection models apply across the whole of the Barclays bank balance sheet

- These models are key components for prepayment modelling for Interest Rate Risk on the Banking Book (IRRBB), lifetime expected loss calculation for IFRS9, Comprehensive Capital Analysis and Review (CCAR)

- Design, build and deliver robust and production quality statistical models and code within a unified library for use within Treasury, Barclays UK and Barclays International

- Assist with the systematic review and on-going assessment of existing models for forecasting asset and liability behavioral balances

- Support quantification of funding and capital plans, forward-looking impairments and pricing of liquidity and funding risk associated with the banks asset/liability profile

- Support model development for quantification of interest rate risk on the banking book

Essential Skills/Basic Qualifications

- Post graduate degree in a quantitative discipline with a statistics component, preferably to PhD level

- Strong industry experience in quantitative finance

- Strong understanding of statistical and econometric modelling techniques eg time series analysis, regression models and various estimation techniques

- Able to deliver to tight deadlines on quantitative projects, and manage the end to end process of model delivery

- Proficient in Python (preferred) or R

Desirable skills/Preferred Qualifications

- Strong experience in designing and developing statistical and econometric models

- Experience in analyzing large volumes of data including cleaning and subsequent pattern identification and clustering

- Knowledge of EAD, PPNR and stress testing modeling

- Knowledge of relevant regulatory guidelines for CCAR, IFRS9, and IRRBB

Profile Summary:

Employment Type : Full Time
Salary : Not Mentioned
Deadline : 18th Mar 2020

Key Skills:

Company Profile:

Not Mentioned

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