QRM Developer/ Modeler

Arka Infotech Inc; New York (NY); On-site; USD 100,000 - 130,000; Full time

Job summary

A financial services firm located in New York is seeking a skilled QRM Developer to develop the QRM model for Asset & Liability Management across multiple banking divisions. The ideal candidate will have thorough experience with QRM and ALM products, alongside a strong understanding of interest rate risk and financial modelling. Responsibilities include developing models for regulatory reporting and enhancing ALM methodologies. This role is contract-based, lasting from 6 to 12 months.

Qualifications

• Thorough knowledge of and experience using QRM.
• Expertise in ALM products and model development.
• Strong understanding of interest rate risk for banking products.

Responsibilities

• Develop modelling for external IRRBB reporting.
• Enhance ALM modelling and analysis methodology.
• Ensure alignment between ALM model and financial planning.

Skills

QRM

ALM products

Interest Rate Risk knowledge

Treasury product knowledge

Hedging market understanding

Financial model development

Job description

Overview

Position: QRM Developer

Location: NYC, NY

Duration: 6-12 months

The Successful QRM Modeller/Developer will be required to develop the QRM model across multiple banking divisions for use in Asset & Liability Management.

Responsibilities

• Develop modelling in support of external IRRBB reporting (FSA017, Stress Testing, Pillar 2 and 3)
• Develop risk modelling in support of reporting and MI for ALCO, BSMC and other governance committees.
• Enhancement of ALM modelling and analysis methodology.
• Ensure that there is alignment between the ALM model and the financial planning process.
• Ensure that updates for the QRM forecast and plans for assumptions are maintained and validated.

Qualifications

• Thorough knowledge of and experience of using QRM.
• Experience in ALM products and how to develop and validate models
• Good understanding of interest rate risk for banking book products
• Strong Treasury product knowledge - interest rates, NII, Earnings at Risk etc
• Good understanding of hedging market and liquidity risk
• Experience of developing financial models.

Additional Information

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