Senior Associate Quant Interest Rate Risk

What you'll do

• Evaluate interest rate risk and update modeling assumptions for deposit, credit card, and mortgage portfolios.
• Manage interest rate risk metrics including Earnings at Risk, duration, and DV01 within the banking book.
• Refine deposit funds transfer pricing methodologies for monthly forecasts and stress testing exercises.
• Perform in-depth scenario and sensitivity analyses to assess risk-return tradeoffs.
• Monitor market developments and macroeconomic conditions to navigate asset-liability management and regulatory requirements.
• Develop and execute quantitative analyses using advanced Python programming.
• Create reporting solutions that provide actionable insights for senior management.
• Communicate complex interest rate risk concepts to both technical and non-technical stakeholders.

What we're looking for

• Bachelor’s or Master’s degree in a quantitative field such as financial engineering, statistics, applied mathematics, or data science.
• Full-time work experience in finance, including banking, strategy, capital markets, asset management, or risk management.
• Proficiency in Python or other scripting languages like R, MATLAB, or VBA.
• Proficiency in Excel and PowerPoint.
• Knowledge of econometrics, machine learning, or other statistical techniques.
• Ability to communicate complex concepts clearly to both technical and non-technical audiences.
• Prior exposure in a Treasury/ALM role or familiarity with interest rate risk concepts (preferred).
• Proficiency in SQL and Tableau; progress towards CFA or FRM; experience with version control (preferred).