Lead Analyst/Manager ALM - IRRBB(Development/Validation) - Gurgaon

Job Description

What you will be doing at Evalueserve Lead and oversee the development and implementation of ALM (Asset Liability Management) and IRRBB (Interest Rate Risk in the Banking Book) models for a bank. Conduct advanced data analysis and queries to support strategic decisions and process improvements. Collaborate with the model development team to enhance existing models to resolve any issues raised or findings shared by internal validation team and also develop new models that are supplement to the main capital calculation processes. Work directly with clients to understand their needs and provide tailored solutions in ALM and IRRBB management. Manage prototype source data migration in established processes and production codes. Develop and deliver training programs to build competencies in ALM and IRRBB management. Ensure timely completion of projects with a strong sense of urgency. What we're Looking for Statisticians, Econometricians, or Engineers with a finance background. Extensive experience in ALM and IRRBB model development from scratch. Proven experience in developing models using Python and R. Experience in working with multiple datasets, cleaning data, and performing comprehensive data analysis. Demonstrated experience in leading large teams and managing complex projects. Advisory experience in ALM and IRRBB management. Deep understanding of ALM concepts, IRRBB, and ILAAP (Internal Liquidity Adequacy Assessment Process). Extensive knowledge of liquidity ratios and their changes, and how they affect funding sources. Familiarity with feeder models for ALM and IRRBB, including yield curve models, prepayment models, and non-maturity deposit models etc. Proficiency in statistical methods and tools such as logistic regression, Bayesian statistics, Markov chain processes, and time series analysis. Advanced skills in Python and R, including object-oriented programming and automation capabilities. Clear understanding of statistical metrics used to assess model performance and ability to make nuanced observations. Advisory experience in ALM and IRRBB management. Ability to work directly with clients and manage stakeholder relationships effectively. Excellent verbal and written communication and presentation skills, with the ability to document analytical results for diverse technical audiences. Ability to articulate ideas clearly and develop actionable recommendations. Proficiency in creating and delivering impactful presentations. Strong analytical and interpersonal skills.