Office Status: Hybrid
Salary: $204,000 to $265,000
Responsibilities:
Oversee modeling that projects the potential interest rate risk on short-term earnings and longer-term equity / economic value at risk, taking into account both a static analysis of interest rate margins and a dynamic view of changing market conditions including elements such as yield, convexity, duration and FX.
Manage the production of fair value equivalents for asset prices and funding costs using existing pricing data from businesses, counterparties, markets, replacement costs and transfer pricing data.
Ensure the proper preparation of a gap analysis.
Oversee the production of funding analysis that takes into account total cost including deposits incorporating relevant ops costs.
Create, measure and monitor potential loss across different types of risks (interest, convexity, duration, FX, counterparty, etc.).
Establish thresholds, at-risk levels, and exposure limits by product and business. Based on model results, suggest changes to positions and strategies.
Apply a strong background in financial analysis, especially elements of interest rate analysis such as yield, convexity, duration, and FX.
Demonstrate a deep expertise in financial markets and economics to ensure models take into account current and changing conditions and to create a valid set of variables and scenarios.
Demonstrate a deep expertise in risk modeling to take into account various types of risk, correlation between risks and idiosyncratic risk.
Have a strong understanding of information technology, data management and statistical analysis to create meaningful modeling and analysis.
