• The Treasury and Balance Sheet Management (TBSM) department of client Bank manages client’s non-trading market risk, liquidity risk, capital, investment portfolios, wholesale funding programs, pension plans, and transfer prices funds to the businesses.
• The Treasury and Financial Modelling team in Corporate Data ^ Analytics (CD&A), Corporate Transformation & Operations (CTO) is responsible for ensuring appropriate quantitative methodologies and estimation approaches are in place to support Treasury and Balance Sheet Management as well as to advance the use of enhanced models and data-driven analytics to support the allocation of scarce financial resources (capital, liquidity, and funding) and improve decision making.
• Within the Treasury Modelling team, the Modeling Analytics and Development group supports the valuation and hedging of various bank products and option exposures in the Banking Book.
• The position reports to Senior Manager, Treasury and Financial Modelling team within CD&A, CTO. Detailed accountabilities include:
o Provide quantitative model support to business as usual and strategic Treasury Balance Sheet Management projects and initiatives such First Horizon Integration, integrated Treasury stress testing and scenario analysis tools, the new Asset Liability Management system (Canoe), regulatory requirements for non-trading market risk measuring and management (IRRBB), new market driven initiatives (BRR/IBOR/CDOR replacement) and interest-rate hedging strategies, Hedge Accounting and funds transfer pricing.
o Research industry best practices and support the development of quantitative valuation models for measuring and hedging the interest rate risk of retail, commercial and structured finance products in the Banking book under a multi-curve environment.
o Research industry best practice, address model validation, audit and regulatory requirements and/or findings in a timely manner.
o Support the development of desktop tools for TBSM Front Office and internal TBSM partners to support their trading, portfolio management and interest rate hedging activities.
o The position must work effectively with internal and external partners of TBSM, including Front Office, the Investments Team, the Market Risk Measurement and Reporting Team, the Treasury Analytics Group, and the Model Validation and Management Team, to ensure the soundness and accuracy of the model development and implementation.
• Strong quantitative skills with a graduate degree in one or more of the following areas: statistics, economics, and mathematics, with at least 3+ years of experience in quantitative analysis / financial engineering.
• Knowledge of financial markets as well as fixed income portfolio management and hedging techniques and valuation models.
• Experience in model development or validation with an advanced knowledge of stochastic processes and fixed income and asset backed securities modelling an asset.
• Solid skills in C++/C#, Python, VBA programming and Microsoft Office tools (Excel, Word, Powerpoint)
• Strong analytical & communication skills, and demonstrated track record of creative problem solving & solution development
• High level of self-motivation
• Previous experience as a risk analyst – 3 years
• Quantitative analysis/financial engineering – 3 years
• Knowledge of financial markets as well as fixed income portfolio management and hedging techniques and valuation models
• Strong analytical & communication skills
• Demonstrated track record of creative problem solving & solution development
• Microsoft Office tools (Excel, Word, PowerPoint)
Nice to haves
• Fixed income and asset backed securities modelling
• C++ experience
• Python experience
• VBA programming experience
• Master’s degree in statistics, economics, mathematics or equivalent/related
• 1 round of Webex