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Senior ALM Risk Consultant
Ref No.: 17-00051
Location: San Francisco, California
Position Type:Full Time/Contract
Start Date: 06/12/2017
Responsibilities:
Develop, enhance, maintain models and tools related to interest rate risk measurement such as prepayment/attrition, forecasting, valuation, term structure, and volatility
Produce model documentation, performance monitoring reports, and benchmarks for strong model risk management
Work with subject matter experts to develop, support and monitor modeling assumptions
Provide quantitative and analytical support for earnings, duration gap, economic value of equity, stress testing related metrics
Other ad-hoc quantitative analysis as necessary

QUALIFICATIONS
3+ years of asset liability management analysis experience
1+ year of financial services industry experience
Demonstrated modeling experience with VBA, R, MATLAB, SAS, SQL or similar statistical tools
Experience developing, understanding and analyzing statistical, financial, interest rate, and econometric models
Advanced Microsoft Office skills
Strong analytical skills with high attention to detail and accuracy
Ability to work effectively in a team environment and across all organizational levels, where flexibility, collaboration, and adaptability are important
Outstanding problem solving and decision-making skills
Excellent verbal, written, and interpersonal communication skills
A BS/BA degree or Engineering, or related fields. MS or higher in quantitative field preferred.
Ability to maintain a sense of urgency in delivering on assigned tasks while still maintaining superior quality and accuracy