Liquidity Stress Modeler

Job description

Responsibilities

ALM is seeking to add a Liquidity Stress Modeler to their team. Day-to-day responsibilities will include, but not be limited to:

·  Driving quantitative modeling projects, including the following efforts:
·  Participate in the design and implementation of the models and (large) data set analytics, usually Excel-based.
·  Incorporate Modeling expertise into qualitative aspects of the validations (written)
·  Provide high quality of documentation with quantitative and qualitative explanation of the models, their implementations and the business behavior.
·  Test and validate the models implemented including unit tests and non-regressions tests.
·  Collaborating with Treasury, Second Line of Defense (2LOD) / Risk department, various business lines, Operations to ensure completeness and accuracy of the business being modeled
·  Collaborating with Liquidity Reporting, IT, Data Quality and other functions supporting the implementation of the models
·  Support annual model review, including updating and adding to existing models and documentation
·  Ad hoc portfolio and (stressed) balance sheet analysis. Stress test by business line analysis.
·  Weekly review of LST results, including all drivers of stressed balance sheet, and commentary for presentations of the LST
·  Perform Ongoing monitoring, sensitivity analysis, backtesting and other ad hoc reviews of the model and output analysis

Profile Required

Technical Skills:

·  Established knowledge in one or more types of funding or asset product lines (Deposits, Loans, Repo, FCM, Prime Brokerage)
·  Advanced quantitative and analytical skills
·  Proficient in applied mathematics and modeling
·  Skilled in programming using an Object-Oriented Language
·  Ability to translate technical modeling and business line anlaysis into various written formats, succinctly and clearly

Desired / Plus:

·  Data Analytics, Data Science, Statistics and time series analysis skills
·  Prior experience in either ALM / Treasury / Business line (e.g., Capital Markets or Loans) departments
·  Knowledge of IT modeling tool (FARMS)

Competencies:

·  Strong written and verbal communication skills with ability to interface with key partners
·  Leadership, project management, and effective liaison between business, quantitative research and technology teams.
·  Comfortable with organizational complexity, high pressure environments and rapid change

Experience Needed:

·  5 years of industry experience
·  Prior liquidity or capital stress testing, or IRRBB modeling

Educational Requirements:

·  Master's Degree in one of the following areas Business, Finance, Mathematics, Engineering, or Computer Science

Business Insight

The Finance Department(DFIN) of Global Banking and Investor Solutions (GBIS), is a global organization with local presence, providing the same set of services through global and efficient processes and consistent norms, leveraging on production hubs. Our Core Missions are: Quality and timeliness of GBIS financial statements; Assisting GBIS management and all Business Lines in their steering with actionable reports on financial performance and forecasts; Independent certification of all financial aggregates in particular the daily P&L explanation on Market Activities; Financial communication and constant benchmarking; Providing expertise on accounting, prudential and tax norms and ensuring the compliance of these norms.

DFIN's Asset and Liability Management Department (DFIN/ALM) in in charge of the following activities:

·  Maintains and provides Liquidity Expertise for the Region
·  Liquidity model ownership, including model design and calibration (first line of defense)
·  2 nd level review and explanation of Liquidity Dashboard and Reporting exposures – including regular presentation of the report to Management and the business lines
·  General Secretary of the ALCO – Ensures it is regularly held, prepared and properly minuted
·  Scarce Resources Steering – proposes and monitors liquidity targets and limits
·  Adherence to Liquidity Regulatory Requirements
·  Liquidity and funding risk management and execution
·  Conducts balance sheet monitoring, associated limit framework monitoring and structural risk monitoring
·  Reviews major strategic initiatives that would have significant impact on balance sheet structure and risk

We are an equal opportunities employer and we are proud to make diversity a strength for our company. Societe Generale is committed to recognizing and promoting all talents , regardless of their beliefs, age, disability, parental status, ethnic origin, nationality, sexual or gender identity, sexual orientation, membership of a political, religious, trade union or minority organisation, or any other characteristic that could be subject to discrimination.

Job code: 2000013R
Business unit: SG Americas Securities
Starting date: Immediate
Date of publication: 15/07/2020