Treasury Quantitative Analyst (VP)

Role Description

Design analytics and modelling solutions to complex business problems using domain expertise Collaboration with technology to specify any dependencies required for analytical solutions, such as data, development environments and tools Development of high performing, comprehensively documented analytics and modelling solutions, demonstrating their efficacy to business users and independent validation team Implementation of analytics and models in accurate, stable, well-tested software and work with technology to operationalise them Provision of ongoing support for the continued effectiveness of analytics and modelling solutions to users Demonstrate conformance to all the Bank’s Enterprise Risk Management Policies, particularly Model Risk Policy Ensure all development activities are undertaken within the defined control environment

Role Requirements

Industry experiences supporting stakeholders to manage interest rate risk and implementing capabilities required for cashflow generation of interest rate flow products including swap, bonds, repos, deposit; discount and forward curves Expert coding skills in Python, with experience developing and delivering analytics within a team Excellent communication skills, including the ability to discuss technical matters with a non-technical audience Asset Liability Management Quant with experience supporting Interest rate risk of banking book (IRRBB) Systems engineering knowledge, including development of distributed systems