Balance Sheet Management Senior Analyst, AVP (Hybrid)

The Senior Balance Sheet Management Analyst will be responsible for research, model development on behavioral assumption of banking products, documentation and submission work on model validation review/update/changes and back testing along with model variance testing and attribution. The successful candidate will work closely with various teams across Corporate Treasury, Finance Units, Business Units and Risk Management to develop and implement production and benchmark models for behavioral assumptions which underpins measurement of IRRBB.                   

• Estimation, calibration and implementation of behavioral assumption models for the banking book including, but not limited to business/retail product embedded optionality including prepayment assumption for residential and commercial mortgage securities and loans, and non-maturity deposit duration profile.

• Application of applied econometric and AI techniques to build predictive models for banking book product behavior in response to changes in interest rates and macro variables.

• Monitoring and back-testing key model assumptions (e.g., mortgage prepayment speeds, term deposit redemptions, product rate betas, decay profiles).  Document implications to IRR profile of behavioral assumption model parameter changes.

• Econometric and AI modeling and programming in support of model estimation, implementation, monitoring, and back testing

• Actively engage in mutual dialogue and interaction with the business as well as with supporting functions including Risk Management and Finance, especially respondence on queries and issues from Risk Management related to behavioral modelling.

Qualifications:

• Bachelor's degree in Econometrics, Economics, Quantitative Finance, Computer Science, Math or another quantitative discipline; Masters/PhD preferred

• Ability to apply techniques from numerical analysis, statistics, applied econometrics and financial mathematics to build predictive models for behavioral assumptions

• Proficiency using Python, VBA, SQL as well as the MS Office suite

• 5-8 years relevant experience

• Knowledge in financial engineering, financial markets, and the interest rate business is preferred

• Experience with ALM banking book interest rate risk, derivative markets, derivative hedge accounting, and derivative valuation 

• Advanced quantitative and presentation skills, with attention to detail and advanced knowledge of Microsoft Excel, Power Point and Access, and ability to work with large volumes of data leveraging spreadsheets and models
• Exercises effective project management,, relationship building and communication skills
• Take ownership and execute on deliverables
• Team player with an ability to work well with others in a fast-paced, high-energy environment

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