Story Behind the Need
• Business Group: Balance Sheet Analysis is seeking an ALM Analysis & Model Operations Analyst to assist with two projects:
• The candidate will perform fallback valuation and assessment, as well as the develop data retrieval and reconciliation work on relevant transactions
• the candidate will be part of the development of data tools and analytical techniques for the management of structural interest rate risk.
• The candidate thrives in a collaborative team environment, building and enhancing internal relationships with Finance, Traders and Risk Management. He/she must be able to multi-task and demonstrate an ability to identify process improvement opportunities. This is a position that requires a strong commitment, with tight deadlines that result in competing demands and heavy workload at peak times.
Candidate Value Proposition:
• The successful candidate will have the opportunity to gain exposure to 2 projects and have the chance to be extended for another long-term contract.
Typical Day in the Role:
Enhanced Data Analytics Project
• Develop and maintain processes to automate data retrieval, reconciliation, and transformation. Develop interfaces with highly sophisticated Interest Rate Analytical tools and APIs for analysis.
• Develop, maintain, and follow standards and control protocols to ensure output is correct and reproducible.
• Write, implement, test, and utilize sophisticated quantitative models for hedging and ALM purposes.
• Enhance the data and parameters analytics for Structural Interest Rate Risk assessments.
Benchmark Rate Reform Project
• Analyze the relevant calculated outcome against regulatory and internal requirements to ensure calculations are consistent with expected analytical and quantitative requirements.
• Provide timely analysis of balance sheet exposures and what-if scenario testing.
• Ability to understand the impact related to hedge accounting and adjust relevant transaction calculation to reflect its requirement
• Ensure operational effectiveness to deliver analytics capabilities to end users.
• Work closely with market-facing, risk management, and finance teams on the various analytical, reporting and exposure measurement issues.
• Present to other Treasury colleagues regarding new SIRR analytics and ALM methodology impact testing.
Must Have Skills/Requirements:
• BSA -2+ years of professional experience liability management, hedge accounting and risk management
• 2+ years of experience in database management and development of analytical tools with a solid understanding of statistics, derivatives concepts, as well as interest rate sensitive products
• SQL (building ALM systems / processes; writing queries & scripts and do calculations within script) – 2+ years of hands on experience
• Previous model development experience and proven ability to assess, interpret, and implement financial theories, concepts, and models
Nice to Have Skills:
• Experience at a top-tier financial institution, preferably with knowledge in interest rate products, asset – highly preferred and will be considered when shortlisting*
• Interest rate product understanding
• Treasury setting experience or wholesale trading setting
• Tier 1 FI or Large Banking (one of the big 5 Banks in one of the above)
• MATLAB data/statistical modeling software (to automate processes and handle large amounts of data)
• Working understanding of interest rate market dynamics and financial/management accounting principles.
• Understanding and practical experience in Interest Rate Sensitivities.
• Strong presentation and communication skills, both oral and written.
• Strong customer-focus with a proven ability to translate complex customer requirements into user-focused final product.
• Creative problem solver and strong analytical skills.
• Clear communication – written & verbal (stakeholders, key assumptions & risk they see) • Strong presentation skills – use and analyze data and explain it in a management/business perspective
• Concise answers, easily articulate for the benchmark portion, for data portion – look into calculations
• Good at managing times and projects
• Self sufficient, independent
• Problem solver with strong analytical skills
• Graduate degree(s) in Commerce (MBA, MFin, MAcctg, etc) with a highly technical undergraduate discipline (engineering or computer science) or equivalent