Senior Manager -ALM, Quantitative Analyst

Senior individual-contributor role within Asset Liability Management focused on market risk modeling. Owns and refines vendor and in-house models for interest rate risk, including term-structure, curve construction, scenarios, prepayment modeling, and volatility surfaces.

• Own and fine-tune vendor models on mortgage prepayment
• Model lending products and prepayment behavior for business-as-usual and capital stress testing
• Develop interest rate dynamics and stress/scenario design for valuation, hedging, and risk attribution
• Calibrate and maintain volatility surfaces for instruments with embedded options
• Build and maintain workflows/data pipelines for automated model execution and backtesting

The work centers on interest rate term-structure modeling, curve evolution, option-adjusted measures, volatility surface calibration, and scenario generation for valuation, hedging, and risk attribution. The role also builds automation workflows and data pipelines for model execution and backtesting, including AI-assisted coding to improve development, documentation, and testing.

The ideal candidate is a quantitative modeling professional with strong experience in market risk modeling for interest rate risk and balance sheet strategy. They have hands-on expertise building and fine-tuning term-structure models, mortgage prepayment models, and volatility surface calibration, along with automation and backtesting of model workflows.