We are building a Treasury quantitative analytics team for a global banking group with HQ in London. Our mandate includes searches for Director, VP, and AVP level people to support Treasury Finance to manage Interest Rates Risk and Credit rate Risk of the banking book. This particular VP level role will be responsible for working with stakeholders within Asset & Liability Management, Treasury Finance, and Hedge accounting to develop models & analytics that generate cashflows to manage Net Interest Income, Economic Value of Equity & Repricing gap metrics calculated with their in-house python developed analytics library.
Role Description
* Design analytics and modelling solutions to complex business problems using domain expertise
* Collaboration with technology to specify any dependencies required for analytical solutions, such as data, development environments and tools
* Development of high performing, comprehensively documented analytics and modelling solutions, demonstrating their efficacy to business users and independent validation team
* Implementation of analytics and models in accurate, stable, well-tested software and work with technology to operationalise them
* Provision of ongoing support for the continued effectiveness of analytics and modelling solutions to users
* Demonstrate conformance to all the Bank’s Enterprise Risk Management Policies, particularly Model Risk Policy
* Ensure all development activities are undertaken within the defined control environment
Role Requirements
* Industry experiences supporting stakeholders to manage interest rate risk and implementing capabilities required for cashflow generation of interest rate flow products including swap, bonds, repos, deposit; discount and forward curves
* Expert coding skills in Python, with experience developing and delivering analytics within a team
* Excellent communication skills, including the ability to discuss technical matters with a non-technical audience
* Asset Liability Management Quant with experience supporting Interest rate risk of banking book (IRRBB)
* Systems engineering knowledge, including development of distributed systems