Behavioural Modeller

The primary objective of the role is to drive balance sheet optimization delivery through analytical solutions, ALM behavioural models and statistical data science analysis (e.g. longevity and stability of CASA, early redemptions of TDs, prepayments and pricing of embedded optionality) for front office Treasury Market dealers, policy owners and risk managers.

The candidate will implement analytical tools in balance sheet management and strategy formulation in countries within his / her scope.

Key Responsibilities

• Conduct data analysis using R (statistical tool) pertaining to ALM balance sheet models
• Participate in definition of methodologies to calculate and forecast balance sheet positions and key Treasury, Risk and Balance Sheet Management metrics
• Design the relevant data extracts as inputs to models and solutions, considering the balance between accuracy and model performance
• Document underlying methodologies, design, assumptions and operating models
• Provide ongoing support to end-users
• Support migration of tactical solutions to strategic platforms
• Manage communication with desks, policy owners and risk managers to understand user needs, resolve issues and promote usage of the products developed.
• Provide input into the strategic direction of Treasury platforms and plan projects accordingly