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ALM Modeller

Eingestellt von ARK International Recruitment Ltd

Gesuchte Skills: Client, Matlab

Projektbeschreibung

ALM MODELLER

My client a leading financial services company is looking to hire a ALM MODELLER for a rolling contract based 5 days a week onsite in London.

The department ALM Modelling is part of Market & ALM Risk within the Risk Management department.

Market & ALM Risk is responsible for the management of market, liquidity and model risk within Markets and ALM and focuses on the definition and monitoring of the bank's risk appetite.

The task of ALM Modelling is the development of methodologies applied in Asset and Liability Management, such as models for mortgage prepayments and non-maturing liabilities.

THE ALM MODELLING EXPERT WILL:

Develop models that describe the interest rate and liquidity risk in the balance sheet. The expert describes client behaviour with econometrical techniques applied to extensive data sets.

Initiate model innovations based on trends in the economy.

Analyse Embedded options is banking book products and advise on pricing and hedging with the use of term structure models.

Maintain contacts with representatives of client businesses. Manage the model approval process.

Actively share expertise within the bank and exchange knowledge with specialists within the field.

For the function of ALM modeller we are looking for an advanced degree (Master's/PhD) in a quantitative field (eg econometrics or financial mathematics) with thorough knowledge of ALM and mathematical and statistical techniques, in particular of stochastic calculus. The ALM Modeller has actively developed ALM models and/or researched interest rate or liquidity risk models. Programming experience in a mathematical/statistical language such as Matlab, SAS or Stata is required. You can tell a compelling story on complex models to a non-quantitative audience. Fluent in English.

Projektdetails

  • Vertragsart:

    Contract

  • Berufserfahrung:

    Keine Angabe

Geforderte Qualifikationen

  • Kategorie:

    IT Entwicklung, Ingenieurwesen/Technik

  • Skills:

    client, matlab

ARK International Recruitment Ltd