Senior Analyst, Treasury Modelling

Job description

Purpose of Job The Treasury Modelling team within the Treasury group is responsible for the management of the department’s programmed modelling solutions along with providing analytical support, behavioural modeling and help to achieve operational efficiencies. This role is a multi-faceted one, as responsibilities include supporting Treasury’s programming and quantitative analysis. The incumbent will be instrumental in automating complex departmental models. The Work!: Develop efficient processes for quantitative models (30%) Build programmed solutions and processes based on requirements from the Treasury and Capital Markets team. Automate existing spreadsheet-based analysis and to replicate results from other platforms. Efforts will focus on funds transfer pricing models/ margin reporting, hedge accounting report, duration calculation, liquidity matching, stress testing, liquidity regulatory reporting etc. The incumbent will ensure all processes are documented as per the Bank documentation standards. Develop complex behavioural models (30%): The position supports and provides analytical support to Treasury team members (Liquidity, IRR, etc.) with (customer) behavioral analysis of...