Candidate with good quantitative background with excellent working knowledge of Financial Mathematics and Statistics; a degree in quantitative subject (e.g. Math, Engineering, Statistics, Economics with quantitative minor or masters degree).
Knowledge of IRRBB risk metrics and Treasury products, relevant pricing models and both explicit and implicit embedded risks in them. Valuable understanding of Banking Book business.
Understanding of and experience with Treasury models for savings deposits, residential mortgages and consumer and business loans
Performing model validations with MRM policies and procedures and keep comprehensive documentations.
Experience in model specification, model selection, model testing and/or model documentation. Literate with excellent writing,
reviewing/editing and presentation skills
Desirable skills/Preferred Qualifications:
Experience with SR 11-7, SR 15-18/19, and stress testing exercises such as CCAR guidelines used in Model Risk Management.
Ideal candidate with at least 2/3 years of Treasury, Liquidity management/reporting or ALM space Model Validation experience is preferred.
Knowledge of applicable European and US IRRBB regulation is a plus.
Proven experience of statistical models and broader financial modelling
Experience of coding using Matlab/R/SQL/C++/Python or equivalent language/software.
📌 IRRBB Quant (Bengaluru)
🏢 EY
📍 Bengaluru
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