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ALM QUANTITATIVE ANALYST – INVESTMENT BANK

  • Job type: Permanent
  • Location: London
  • Salary: £90000 - £120000 per annum
  • Job reference: CRHS 2607
  • Sector: Banking and Finance, Risk Management, Selby Jennings
  • Date posted: 21/08/2017
A Global Investment Bank based in London are looking for an individual with a strong statistical background to join their growing quantitative analytics group. You will support the group in the quantification of funding and capital plans, forward looking impairments and pricing of liquidity and funding risk associated with the bank’s asset/liability profile.


Responsibilities
  • Design, build and deliver robust and production quality statistical exposure models
  • Assist with the systematic review and on-going assessment of existing models for forecasting asset and liability behavioural balances
  • Code within a unified library for use within Treasury.
  • Maintain an open dialogue with other modellers
Key Requirements
  • Post graduate degree in a quantitative discipline e.g. Statistics
  • Strong knowledge of statistics
  • Good understanding of statistical and econometric modelling techniques
  • Strong numerical programming ability using languages R and Python
  • Experience of developing & applying statistical models     
Preferred    
  • PhD in a highly numerate discipline (Mathematics, Statistics, Physics, Engineering, Econometrics)   
  • Knowledge of EAD and PPNR modelling
  • Experience in statistical modelling and model testing
Benefits
  • Salary: £90,000+
  • Generous pension contributions
  • 25 days holiday
  • Private healthcare
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