Job Abstract

DESCRIPTION:

Duties: Advance risk analytics at the product, line-of-business and firm levels including duration of equity, future duration of equity, advanced scenario analysis and development, and earnings-at-risk. Develop new analytics and add to existing analytics for forward interest rate risk. Serve as a product level expert on all aspects of interest rate risk (IRR) for specific product categories (including investment securities, wholesale or retail deposits, mortgage loans, auto loans, credit card loans, wholesale funding, and funds transfer pricing (FTP). Deliver underlying source data analytics/analysis, product attributes and assumptions, valuation models, and product balance forecasts. Investigate and analyze product, line-of-business, and firm level interest rate risk metrics. Present IRR analysis to senior business partners and risk oversight. Assist business lines in assessing and hedging IRR with FTP.

QUALIFICATIONS:

Minimum education and experience required: Master’s degree in Quantitative Finance, Finance, Risk Management, or related field of study plus 2 years of experience in the job offered or as a Research Analyst, Risk Analyst, Financial Analyst, or related occupation.

Skills Required: Requires experience in the following: solving analytical and quantitative financial problems; capital markets instruments or banking book products, including 2 of the following: mortgages, interest rate securities, publicly traded structured products, credit cards, deposits, or commercial loans; interest rate risk concepts: duration, convexity, or volatility; working with models for non-linear financial instruments such as mortgages; programming and working with large quantities of data in Python and SQL; preparing executive level presentations on interest rate risk, scenario analysis, and modeling approaches using PowerPoint or other presentation software; and using Excel to perform financial modeling, use VBA, and interpolate interest rates.

Job Location: 277 Park Avenue, New York, NY 10017. Telecommuting permitted up to 40% of the week.

Full-Time. Salary: $171,200.00-$285,000.00 per year.