VP - Methodology, Modelling and Group Treasury

  • Competitive
  • Singapore Singapore Singapore SG
  • Permanent, Full time
  • Morgan McKinley Singapore
  • 18 Jul 18 2018-07-18

VP - Methodology, Modelling and Group Treasury

My client is a leading global bank which provides full banking service in Singapore. They are looking for a Modeller to be part of their Group Analytics team within the Treasury business.

Job responsibilities

  • Design models to calculate and forecast positions on key Treasury, Risk, Regulatory and Balance Sheet Management metrics, as well as behavioural models
  • Develop prototypes and tactical models in excel
  • Design the relevant data extracts as inputs to models
  • Understand data sources and the relevance of specific data attributes to both liquidity and price risk metrics, such as LCR, NSFR and IRRBB
  • Provide ongoing support to end-users
  • Support the Group as the model SME, the migration of models to strategic platforms

  • Degree in Banking / Statistics / Finance or other quantitative fields
  • Minimum 5 years of experience in front or middle office interest rate risk management, liquidity risk management or treasury
  • Good understanding and practical experience in IRRBB (NII, EVE, PV01) and relevant behavioural models
  • Understanding of liquidity ratios such as LCR and NSFR, liquidity stress testing, bank funding and FTP
  • Product knowledge in ALM and Commercial Book products
  • SAS modelling experience

If you are qualified and interested in this role, please apply for the role with your updated CV in WORD format.

Morgan McKinley​ Pte Ltd
EA License No: 11C5502
Registration No: R1659128
​EAP Name: Phea Dan Shuo, Bella