Data Scientist Treasury ALM

JOB PURPOSE
To develop quantitative analytics that optimize the Bank’s interest rate and liquidity positions .To monitor and statistically model client behaviour on non-maturing deposits (current and saving accounts) and loan prepayment behaviour

ACCOUNTABILITIES

1. Statistical Modelling

Develop, automate and present fit for purpose statistical models that have an impact across the balance sheet (Net Interest Income and Economic Value Requirements);

Leverage data and use scientific techniques to model client behaviour on non-maturing deposits (current and saving accounts), in addition to understanding loan prepayment behaviour across the Bank’s lending products;

Using big data analytics, extend and enhance the existing preliminary statistical models.

2. Performance Monitoring

Monitor model performance and communicate results to stakeholders
Propose model changes as necessary with recalibration/redevelopment, support by sensitivity testing, back testing and fundamental driver analyses.

3. Research/Data Gathering

Keep abreast of latest market developments on balance behavioralisation. Translate and extend the existing models in order to optimise funding value.

4. People Management

Manage self in line with ADCB’s people management policies, procedures, processes and practices to ensure adherence and to maximise own contribution to business performance.

5. Policies, Processes, Systems and Procedures

Preparing decision-making, policies and analyses for senior management.

6. Continuous Improvement

Participate in, identification and implementation of change initiatives, programmes and projects in line with the bank’s standards

7. Customer Service

Demonstrate Our Promise and apply the ADCB Service Standards to deliver the bank’s required levels of service to all internal and external customer interactions

EXPERIENCE, QUALIFICATIONS & COMPETENCIES

Minimum Experience
2 to 5 years of relevant working experience in financial modelling, ALM or balance sheet management
Minimum Qualifications
Advance degree in (Quantitative) Finance, Econometrics, Mathematics, Physics or similar academic programs
Professional Qualifications
Financial Risk Manager (FRM) or Chartered Financial Analyst (CFA) certification with strong quant abilities or actuary is an advantage
Knowledge and Skills
Experience with VBA (excel), R, or Python is a must. SQL is a plus
Experience with ALM / Risk software solutions such as QRM or FIS is preferred
Clear communication (with ability to explain complex concepts) and proficient interpersonal skills
Able to work under pressure in a focused and precise manner;
Self-starter with the ability, agility and motivation for self-learning