Banking Book Liquidity ALM/QRM

Linium Resources; New York (NY); On-site; USD 150,000 - 160,000; Full time

Job summary

Linium Resources is seeking individuals for its Americas Modeling and Analytics group, focusing on Banking Book Asset and Liability Management. Candidates should have at least 2 years of experience with QRM for ALM Modeling and a strong background in Balance Sheet/Product Modeling.

This role involves the ownership of modeling methodologies, implementing QRM, and enhancing reporting capabilities. A knowledgeable understanding of EaR and EVEaR analysis is essential, alongside familiarity with various modeling tools like SQL and Python.

Qualifications

• Minimum 2 years experience with QRM for ALM Modeling.
• Strong understanding of Balance Sheet/Product Modeling.
• Intimate knowledge of EaR and EVEaR analysis and reporting.

Responsibilities

• Develop and own modeling methodology for banking book positions.
• Implement BB ALM's tool of choice, QRM.
• Enhance BB ALM's reporting and analytical capabilities.

Skills

QRM for ALM Modeling

Balance Sheet/Product Modeling

EaR and EVEaR analysis

Data requirements for modeling

Understanding of markets

Modeling tools (SQL, SAS, Matlab, Python)

Job description

Banking Book Asset and Liability Management is looking for individuals to join its Americas Modeling and Analytics group. The group's responsibilities include:

• The development and ownership of modeling methodology for banking book positions, this includes both Earnings at Risk and Economic Value of Equity methodologies.
• Development and implementation of BB ALM's tool of choice, Quantitative Risk Management (QRM).
• Documenting the methodology and QRM implementation adherent to internal and regulatory standards.
• On-going enhancements to BB ALM's reporting and analytical capabilities, ensuring full decomposition and attribution of drivers of change across IRR metrics.
• Supporting BB ALM and firm strategy through ad-hoc analysis.

Job Description

The expansion of BB ALM's deliveries involves:

• Modeling of Contractual Economics.
• Modeling of Behavioral Economics.
• In-depth understanding of EaR and EVE the drivers behind sensitivity.
• Understanding of the opportunity cost of a dollar/euro.
• Resource allocation a.k.a Efficient Frontier of Funding.

BB ALM will execute these deliverables by:

• Leveraging QRM software to implement modeling methodologies into consolidated view(s) of balance sheet.
• Developing in-house models to better capture going-concern nature of the firm's stable businesses (e.g. enterprise deposit modeling).
• Developing analytical tools to quantify opportunity cost of a dollar/euro by division/product.
• Becoming firm SME/COE for EaR and EVEaR, with understanding of impacts to capital.

Qualifications

• Minimum 2, preferably greater, years of experience with QRM for ALM Modeling purposes.
• Strong background/understanding of Balance Sheet/Product Modeling
• Intimate knowledge of EaR and EVEaR analysis and reporting.
• Intimate knowledge of data/data requirements for Balance Sheet/Product Modeling and ETL logic.
• Understanding of markets, particularly IR, FX, Basis; term-structure modeling a plus.
• Experience with additional modeling tools, (SQL, SAS, Matlab, Python).

Additional Information

All your information will be kept confidential according to EEO guidelines.

$150-160K DOE

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