Vice President, Quantitative Researcher - CIO Asset & Liability Management (ALM)
Core
Build and support banking-book interest rate risk and pricing models for deposits, callable instruments, municipal securities, and swaptions to quantify balance sheet sensitivity to rate and volatility moves.
Role type
Senior IC quantitative researcher (ALM)
Builds
Production-quality analytics and models for the firm's quantitative analytics platform
Domain
Banking / Fixed-income derivatives / Interest rate risk
Deliverable
production ML models
Required skills
Interest rate modeling, Asset and liability management, Callable products modeling, Curve construction, Volatility modeling, Python programming, Numerical methods, Model risk governance, Accounting frameworks (hedge accounting)
Preferred skills
Multi-curve frameworks, SABR and short-rate models, Finite-difference methods, Monte Carlo simulations, SQL, Applied machine learning
Technologies
Athena quant platform, Python, SQL
Responsibilities
Calibrate interest rate and volatility models, Develop models for behavioral products and optionality, Ensure models meet internal risk and accounting requirements, Manage model documentation and change controls, Deliver performant analytics using engineering practices, Provide technical leadership and mentorship
Seniority
Senior, hands-on IC