Model Development Role - Market Risk/Treasury/IRRBB

Candidate should have strong experience into Development of treasury models with strong coding experience in either one of this (Python /C/C++).

Treasury Models (Deterministic Model):

1 (A). You must have knowledge of the following in Risk / Finance / Quant Modelling (across at least some of the these) - Treasury Risk (Interest Rate Risk of Banking Book-IRRBB), Liquidity Modelling (TWD/Unwinding of securities and balance sheet resolution/RRP), Hedge accounting (cashflow management for testing IFRS and GAAP accounting), ICAAP VAR Model (Interest Rate Risk of banking book for VAR), PRA110 liquidity reporting, Model Implementation.

Treasury Models (Statistical Model:

1(B). You must have knowledge of the following in Risk / Finance / Quant Modelling (across at least some of the these) - Treasury Risk (Interest Rate Risk of Banking Book-IRRBB), Liquidity Modelling (TWD/Unwinding of securities and balance sheet resolution/RRP), Hedge accounting (cashflow management for testing IFRS and GAAP accounting), ICAAP VAR Model (Interest Rate Risk of banking book for VAR), PRA110 liquidity reporting, Model Implementation

2.Hands on coding experience (as a full-stack developer / agile developer etc.

3.Preferable language is Python, C/C++ etc).

4.Hand on experience in Model Development and/or Model Validation (core development experience preferred)/Model Implementation.

5.Experience in IRRBB, RRP, TWD, Hegde accounting, Liquidity Modelling, FX rate risk, ICAAP VAR model, Balance-sheet Modelling, Cash Flow Forecasting.

6.Qualification : Look for candidates from Tier 1 institutes ,pedigree