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

Skills

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