£600 - £700 per day
7 months ago
Our client is a well-known Financial Services business who are currently looking to recruit a contractor on 6-month basis specialising in Asset and Liability Management (ALM) within the Model Management and Development function of the Balance Sheet Management department.
As an ALM modelling subject matter expert, you will ultimately be responsible for the design, development and maintenance of the key Market and Liquidity Risk models which are used by the Group.
The main areas you will be working on will be:
- Embedding new behavioural models and assumptions around areas such as mortgage pipeline and prepayment within ALM models to ensure dynamic modelling and reporting capability.
- Supporting the production of new regulatory reports as well as developing and adapting existing processes to ensure the accuracy and timely submission of the Group’s returns.
- Evaluating and documenting existing models to ensure they meet the Group’s model governance standards.
- Each of these areas will involve working closely with other teams within the Balance Sheet Management department so developing and maintaining this engagement will be an important aspect of the role.
The Knowledge & Skills you’ll have
- Educated to a least degree level preferably in Mathematics / Statistics, Finance or Software Development
- Detailed understanding of Market and Liquidity Management models
- Experience of ALM5, Focus or QRM systems.