Sr. Analyst - Balance Sheet Modeling and Analytics
Core
Maintain and develop quantitative models for Asset Liability Management (ALM) and Liquidity management, including deposit modeling and interest rate risk measurement.
Role type
Senior IC quantitative analyst (ALM modeling)
Builds
Production ALM models (prepayment, core deposit, operational deposit) and analytical frameworks
Domain
Banking / Asset Liability Management / Interest Rate Risk
Deliverable
production ML models
Required skills
Asset Liability Management modeling, Interest Rate Risk measurement, Liquidity Risk Management, SAS, Python, SQL, Relational databases, Model governance frameworks
Preferred skills
Three lines of defense knowledge, Internal Audit collaboration, Regulatory compliance, Artificial Intelligence/Machine Learning techniques
Technologies
SAS, Python, SQL, Microsoft Excel, PowerBI
Responsibilities
Drive development and maintenance of ALM models; Lead model documentation and validation processes; Develop new model frameworks and identify data requirements; Collaborate with ALM team to enhance model performance; Provide risk driver analysis; Communicate modeling details to senior management and regulators; Ensure compliance with global regulatory requirements.
Seniority
Senior, hands-on IC
