Quantitative Analyst AVP – Treasury [IRRBB Metrics]

• Prior experience in Risk / Finance / Quant Modelling (across at least some of the these) - Treasury Risk (Interest Rate Risk of Banking Book- IRRBB ), Liquidity Modelling (TWD/Unwinding of securities and balance sheet resolution/RRP), Hedge accounting (cashflow management  for testing IFRS and GAAP accounting), ICAAP VAR (Interest Rate Risk of banking book for VAR), PRA110 liquidity reporting, Model Implementation.
• Technology - Hand's on recent coding experience (as a full-stack developer / agile developer etc.)  Preferable language Python , Python-OOP, C/C++, Version control methods (git, stash, JIRA).
• Knowledge of internal frameworks (such as MEF) and Basel IRRBB framework is advantageous.
• Advanced Technical Degree: Statistics, Engineering, Numerical Analysis, Mathematics, Econometrics, Financial Engineering, Computer Science

Treasury [IRRBB metrics] has a large overlap with Market Risk - candidates with Market Risk model development experience shall also be considered.