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Seeking a quantitative developer with financial modelling, statistical analysis and risk management experience to develop retail deposit models for our global deposits platform. The Strats group plays an important role in financial management of the Banking entities at the Firm. This includes developing the Bank's ALM strategy, Funds Transfer Pricing (FTP) framework and the analysis and management of market, liquidity, interest rate and funding risks in the Bank's business.
Develop liquidity and interest rate models for deposits including non-maturity deposits and term deposits,
Analyse customer deposit behaviour and build analytics based on historical industry data
Develop tools and systems for Asset Liability Management of the balance sheet including interest rate risk, funds transfer pricing and CCAR/DFAST.
Advanced degrees in statistics, computer science, math, physics or engineering.
Strong coding skills preferably with a working knowledge of Java, C++ or Python.
Strong understanding of statistical concepts, optimization techniques and experience building non-linear models.
Good knowledge of ALM and liquidity considerations at Banks