Aldermore Jobs – Senior Treasury Modeller

Job Description:

The role of Senior Treasury Modeller is really important to us. It is a varied, interesting and exciting role which will suit a mathematically-minded modelling and data expert, with strong attention-to-detail and a pro-active, can-do attitude. You will work closely with the Head of Modelling and Analytics, as well as perform a significant role within the rest of ALM and wider Treasury team.

Job Responsibilities:

• Model Selection – which model is most suitable for a given requirement
• Data Analysis – obtaining, cleansing and analysing the financial data used in developing models
• Model Build – using R or other suitable methods to build the model – e.g.: prepayment curves
• Model Validation – fully validating colleagues’ models, both within ALM and the wider group
• Model Implementation – inputting models to QRM (ALM System), Anaplan (Financial Planning System), Excel, etc., documenting, testing and maintaining them
• Model Calibration – as new data becomes available, recalibrating and historically testing the existing models
• Model Use – participate in the monthly Prepayment and Deposit Model forums which link ALM, the Businesses and Funding
• Ad Hoc quantitative requests – increasingly, the models, associated tools and data are used to service ad hoc requests for analysis outside of the regular model lifecycle – for example MI on the latest impact due to Covid

Job Requirements:

• Understanding and experience of the full model life-cycle: Selection, Development, Validation, Calibration, Implementation
• Extensive data analysis experience and ability
• Working within Treasury/Risk/ALM for a significant period of time, preferably at a retail bank
• Coding experience in a statistical language (R, S+, SAS, Python stats packages), preferably R or Python
• Implementation of financial models for ALM or Treasury, preferably within QRM
• Excellent Excel and VBA
• Good understanding of data, statistics and applied financial modelling
• Data Science skillset – data-mining, visualisation (eg: Tableau), ML & AI, presenting, coding (SQL, Python, R, etc)

Qualification & Experience:

• Educated to PhD, MSc or 1st Class degree level in a technical subject such as Science, Computing, Finance or Mathematics

Job Details:

Company: Aldermore

Vacancy Type:  Full Time

Job Location: Leeds, England, UK

Application Deadline: N/A

Apply Here

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