Post Date: 01/26/2018 Job ID: 10477057 Industry: FIN Consulting
The ideal candidate will have experience with ALM or Treasury performing the following functions:
  • Validation of models (Liquidity): calibration methodology, input data, assumptions & implementation based on regulatory guidelines, audit (1st line of defense) review
  • Liquidity Stress Testing: design & calibration methodologies, audit (1st line of defense) review
  • Stress Assumptions: Collaboration with businesses to define assumptions based on historical analysis, regulatory guidance & industry best practice
  • Liquidity risk & metrics/analytics: reporting packages produced for NY FED / ALCO including stress analysis and identification of key drivers of liquidity risk
  • Platform development for stress testing (VBA, Access, SQL), model specification, scenario analysis, underlying assumptions, data curation, business analysis, parallel testing, & resource requirements (OFSAA)
  • Liquidity Stress Testing support: Capital Plan (CCAR), Mid Year / Year End Stress Test, Recovery / Resolution, business growth planning, funds transfer pricing

This role will report to the Head of Asset Liability

Experience in:
  • Liquidity Risk Management within an Investment Bank
  • Understanding of Liquidity Buffer and related calibration
  • Stress Testing and review of assumptions
  • Balance Sheet Monitoring, Fund Transfer Pricing
  • Liquidity Risk Modeling, Validation and Back Testing
  • Metrics for Liquidity Haircut and Run-off (based on scenarios) during a crisis
  • US LCR (Liquidity Coverage Ratio) preferred
  • Funding and Contingency Funding Plans
  • Understanding of Data Warehouses
  • Strong Excel Skills manipulation of large data sets, macros
  • Strong PowerPoint Presentation of Liquidity Reporting Results (Preferred)
Soft Skills
  • Detail Oriented
  • Analytical (Quantitative and Qualitative)

There will be heavy concentration on stress testing and understanding of testing assumptions. Liquidity Risk Modeling and validation and the understanding of the impact under the various crisis scenarios.

Seth Friedland

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