Manager - Treasury Modeling and Analytics

Job description

Treasury Modeling & Analytics team is part of American Express Corporate Planning and Analysis organization and is responsible for development, maintenance, testing and documentation of modeling frameworks and methodologies used in asset-liability management, exposure management and liquidity risk, as well as components of Comprehensive Capital Analysis and Review (CCAR) and Internal Capital Adequacy Process (ICAAP). This team collaborates with various business partners within the Treasury and Corporate Planning organizations, as well as with oversight groups such as model validation and audit.

Responsibilities:
· Development, maintenance, testing and documentation of various statistical and financial models
· Support Treasury Personal Saving group with their analytical needs
· Participate in different forecasting (balance, acquisition, price, etc.) related to the Personal Saving products using various quantitative models and techniques
· Participate in firm-wide CCAR stress testing
· Collaboration with other Corporate Planning modeling teams
· Communicating models internally and incorporating stakeholder feedback
· Interaction with the internal validation and audit groups in addressing model validation findings

Desired profile

·  Bachelors degree required, Masters degree in a quantitative discipline (Statistics, Mathematics, Economics, Finance, Operations Research, Engineering), Ph.D. preferred
·  2+ years of relevant work experience
·  Knowledge and experience in stochastic calculus, statistical modeling, time series and Monte-Carlo simulation
·  Knowledge and experience with financial valuation techniques and derivatives pricing
·  Knowledge and experience in asset-liability management (ALM), interest rate risk and liquidity risk is a plus
·  Hands-on experience in building statistical and financial models using various techniques and large datasets
·  Experience is scenario analysis and CCAR stress testing
·  Experience in writing technical documentation
·  Strong programming skills in SAS, VBA and SQL. Proficiency in Microsoft Excel

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