Job Summary
Job Description
What is the opportunity?
The Senior Manager, ALM Analytics and Research will 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 champion / challenger model variance testing and attribution.
The successful candidate will work closely with various teams across Corporate Treasury, Subsidiary Units, Business Units and Risk Management to develop and implement production and benchmark models for behavioral assumptions which underpins measurement of IRRBB.
What you will do?
ALM modelling specialist responsibilities :
- Estimation, calibration and implementation of behavioral assumption models for banking book business / retail product embedded optionality including prepayment assumption for residential and commercial mortgages and loans, and non-maturity deposit duration profile.
- Application of applied econometric techniques to build predictive models for product prepayment and redemption 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 implication to IR risk profile of behavioral assumption model parameter changes.
- Econometric 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 behaviour modelling.
What you need to succeed?
Must Have :
- An advanced degree in Econometrics, Economics, Quantitative Finance, Computer Science, Math or another quantitative discipline and 3+ years of relevant experience in a Treasury / Asset and Liability Management function
- Advanced knowledge in financial engineering, financial markets, and the interest rate business
- Experienced with ALM banking book interest rate risk, derivative markets, derivative hedge accounting, and derivative valuation
- 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
- Ability to break down complex technical topics with a clear focus on business impact
- Excellent oral and written communication skills
Job Skills
Analytical Thinking, Commercial Acumen, Critical Thinking, Decision Making, Financial Engineering, Financial Regulation, Interest Rate Risk Management, Strategic Thinking, Treasury Management
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