Assistant Vice President - Model Development - Treasury/Wholesale Credit Models

Responsibilities:

Develop and enhance treasury risk models including:

- IRRBB (Interest Rate Risk in the Banking Book)

- Liquidity Modeling (e.g., TWD, RRP, PRA110)

- Hedge Accounting Models aligned with IFRS/GAAP

- ICAAP VAR Models, FX rate risk, and cash flow forecasting

- Perform quantitative analysis, model calibration, and backtesting to ensure robustness and regulatory compliance (Basel III, PRA, etc.)

- Collaborate with treasury, risk, finance, and IT teams to support model implementation, validation, and integration

- Build and automate tools using Python / C / C++ for simulation, stress testing, diagnostics, and scenario analysis

- Prepare and maintain detailed model documentation to support internal audit and regulatory reviews

- Apply quantitative finance techniques such as stochastic modeling, Monte Carlo simulation, interest rate curve construction, and VAR methodologies

Basic Skills Required:

- Strong hands-on experience in treasury risk modeling - especially in IRRBB, liquidity, or balance sheet models

- Advanced programming skills in Python (preferred), or C/C++

- Sound knowledge of quantitative finance, interest rate derivatives, and structured products

- Experience in model development (not just validation) and implementation

- Familiarity with regulatory frameworks: ICAAP, PRA110, Basel IRB, etc.

- Strong mathematical and statistical skills - time series, regression, simulation models

- Excellent communication skills and ability to work in agile, cross-functional teams

- Educational background from Tier 1 or Tier 2 institute (Engineering, Quant, Finance, or Economics preferred)