Senior Treasury Modeller: Liquidity & IRRBB Analytics

absa; Sandton; On-site; ZAR 900,000 - 1,300,000; Full time

Job summary

Absa is seeking a quantified analytics professional to design and maintain treasury models for liquidity risk, IRRBB and balance sheet forecasting. You will develop forecasting and behavioural models to optimise funding mix, implement robust back-testing and sensitivity analyses, and automate data pipelines for governance.

Work with ALM, Funding, Risk and Finance teams to translate business needs into rigorous quantitative solutions while staying current with regulatory expectations and industry

Qualifications

• Strong statistical modelling and data science background with model development experience.
• Experience in forecasting, optimisation and statistics with data analysis.
• Ability to translate complex quantitative concepts to stakeholders.

Responsibilities

• Design, build and maintain Treasury models for liquidity risk, IRRBB and balance sheet forecasting.
• Develop forecasting, optimisation and behavioural models for pricing and funding profiles.
• Perform back-testing, sensitivity analysis and ongoing performance monitoring.
• Create scalable data pipelines and automated processes for model governance.
• Collaborate with ALM, Funding, Risk and Finance to translate requirements into quantitative solutions.

Skills

Statistical Modelling

Data Science

Forecasting

Optimization

Probability Theory

Data Analysis

Tools

SAS

Python

R

MATLAB

SQL

Job description

Absa is seeking a quantified analytics professional to design and maintain treasury models for liquidity risk, IRRBB and balance sheet forecasting. You will develop forecasting and behavioural models to optimise funding mix, implement robust back-testing and sensitivity analyses, and automate data pipelines for governance.

Work with ALM, Funding, Risk and Finance teams to translate business needs into rigorous quantitative solutions while staying current with regulatory expectations and industry