Description
This is a Quant validation role with specific US Reg knowledge (CCAR) focusing in the Investment Banking business
Skills required:
- Has experience or strong knowledge of US CCAR; particularly on MRU of ALM model, Traded Risk models, and valuation models.
- Experience with quantitative applications such as EXCEL, SAS and R.
- Experience with ALM/risk analytical systems such as QRM, PolyPaths.
- Familiarity with model risk assessment and model governance.
- Experience in CCAR model development and/or model review including capital models and PPNR models.
- Experience in statistical model development/review such as OLS, GLM, GAM, time series models, survival analysis, etc.
- Familiarity with basic accounting concepts and principles in particular with respect to balance sheet and income statement items such as PPNR, OTTI and OCI.
- Knowledge of Fixed Income products (loans, securities, interest rate derivatives and credit derivatives) and Fixed Income analytics.
- Exposure to asset and liability management principles, practices and modelling.
- Market risk knowledge of Basel 2.5 & 3
This is a Quant validation role with specific US Reg knowledge (CCAR) focusing in the Investment Banking business