BNY Mellon Careers
Senior Specialist, Treasury and ALM
The incumbent will be responsible for developing, implementing,and maintaining structural interest rate risk analytics and stress testing methodologies. Structural interest rate risk analytics are used to measure, monitor, and report on the bank's asset-liability positions, interest rate risks, earnings sensitivities and other key risk metrics. Stress testing models are used to support regulatory stress testing processes (CCAR/DFAST etc.). The role will be a hands on role where the individual will be expected to conduct mortgage prepayment, interest rate term structure and fixed income securities cash flow behavioral modeling and valuation using vendor software.
Bachelor's degree in finance, econometrics, operations research, mathematics, statistics, or engineering. Masters Degree or Ph.D. in finance, econometrics, operations research, mathematics, statistics, physics or engineering or MBA, CFA with a quantitative bachelor's degree preferred. 3-5 years of experience in risk or financial modeling experience. Familiarity with asset liability management software (QRM, Kamakura, Bancware) or/and market risk management software (ALGO, Riskmetrics) and related modeling techniques. Experience with Blackrock Aladdin, Intex and ADCo. Programming experience in SAS Enterprise Guide would be a plus. 5-10 years of experience in Corporate Treasury or Market risk Management preferred. 3-5 years of risk or financial modeling experience including mortgage prepayment modeling preferred. Experience with asset liability management software (QRM, Kamakura, Bancware) or/and market risk management software (ALGO, Riskmetrics) and related modeling techniques preferred. System savvy with excellent PC skills including MS Suite (Excel, Access, Powerpoint, Word) as well as familiarity with relational databases (SQL server) and query tools (SAS, SQL Analyzer).
BNY Mellon is an Equal Employment Opportunity/Affirmative Action Employer.
Minorities/Females/Individuals With Disabilities/Protected Veterans.
Primary Location: United States-Pennsylvania-Pittsburgh
Internal Jobcode: 85268
Organization: Corporate Treasury-HR06004
Requisition Number: 1809344