Quantitative Analyst - Treasury
Mumbai, Nirlon Knowledge Park (BX) 9th & 11-12 floor, India
INR 1500K-2800K (estimate) Mid-level Full Time
Tasks
- Build interest rate risk models
- Build liquidity modelling frameworks
- Collaborate on data and development environments
- Conduct hedge accounting cash flow modeling
- Conform to model risk policy
- Design analytics and modelling solutions
- Develop statistical and machine learning models
- Develop treasury and liquidity models
- Ensure development within control environment
- Implement models in production software
- Operationalize models with technology
- Perform ICAAP VAR model development
- Perform PRA110 liquidity reporting
- Perform cash flow forecasting
- Perform end-to-end model development
- Provide documentation and enable model validation
- Support model effectiveness for business users
- Validate and implement model changes
Perks/Benefits
- N/A
Skills/Tech-stack
Agile | Balance sheet | Balance sheet modeling | C++ | Cash Flow | Cash Flow Forecasting | FX Rate | FX Rate Risk | Hedge Accounting | ICAAP VAR | IRRBB | Interest Rate | Interest Rate Risk | Liquidity modeling | Machine Learning | Model Development | Model Validation | PRA110 | Python | R | Risk Management | Series analysis | Software testing | Statistical modeling | Time Series | Time Series Analysis | Treasury Modeling
Education
N/A
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