Job Summary:
We are seeking a detail-oriented and analytical professional to support model development, validation, and analytics within Capital Markets. The role involves building derivatives pricing models, statistical models, Liquidity and Treasury models, performing data-driven analysis, and supporting risk management, reviewing policies and procedures, understanding of ML and AI models is desirable.
Key Responsibilities:
Model Development & Validation
- Develop robust and comprehensive models using advanced statistical techniques and algorithmic programming.
- Perform and model validation and back-testing of existing models and identify strengths, weaknesses, and areas for improvement.
- Understanding of Model Risk Management, Model Inventory and Risk Controls
- Support documentation of model methodology, inputs, and outputs for audit and regulatory review.
Data Analysis & Reporting
- Aggregate, cleanse, and analyse large datasets to support model assumptions and validation processes.
- Develop streamlined model performance tracking and reporting dashboards.
- Conduct ad hoc analysis and reporting for Valuation & Analytics teams.
Risk Management & Financial Analysis
- Support risk management through statistical analysis and modelling of mortgage asset behaviour.
- Analyse hedge activity, including interest rate risk associated with financial instruments.
- Assist in evaluating and structuring hedge programs.
- Leverage macroeconomic indicators to perform scenario analysis and stress testing.
Key Skills & Qualifications
- Masters/Bachelors in statistics, econometrics, or quantitative finance.
- Proficiency in programming (e.g., Python, R, SAS, or similar).
- Experience with large datasets and data analysis tools.
- Knowledge of capital markets, mortgage assets, and risk management concepts preferred.
- Strong analytical thinking, problem-solving, and communication skills.
- 2-3 Years of experience in Consulting/Investment Banking/Asset Management firms
