Quantitative Analytics and Model Expert - Asset Liability Management
The Tower at PNC Plaza (PAA86), United States
USD 80K-172K (estimate) Senior-level Full Time
Tasks
- Analyze mortgage portfolio risk
- Analyze rate models
- Assess OAS risk
- Assess data quality and integrity
- Assess model risks
- Consult on regulatory compliance documents
- Develop analytics and automation
- Evaluate model risk conclusions
- Execute IRRBB risk oversight strategy
- Monitor IRRBB exposures
- Oversee new model framework development
- Perform qualitative and quantitative model assessments
- Provide validation review insights
- Quantify deposit modeling risk
- Review changes to existing models
- Review complex quantitative model analyses
- Validate model limit adherence
Perks/Benefits
- N/A
Skills/Tech-stack
ALM | Banking Book | CCAR | Data Quality | Deposit modeling | Eve | Interest Rate | Interest Rate Risk | Interest Rate Risk in the Banking Book | Market Risk | Model Development | Model Validation | Mortgage Portfolio | NII | OAS | Python | Quantitative Analysis | Rate modeling | Regulatory Compliance | Risk Assessment | Risk governance | SQL | Treasury
Education
Roles
Analyst | Model Risk Analyst | Quantitative Analyst | Risk Analyst
Regions
Countries
States
Cities
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