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.
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End-to-end model development process in an environment of continuous improvement
Acting as subject-matter-expert for analytical needs of Treasury department
Collaboration with other Corporate Planning modeling teams
Maintenance, testing and documentation of various statistical and financial models
Ensuring consistency with leading industry practices and regulatory requirements related to modeling
Communicating models internally and incorporating stakeholder feedback
Interaction with the internal validation and audit groups and external regulators in addressing model validation findings
Qualifications
Bachelors degree required. Masters degree in a quantitative discipline (Statistics, Mathematics, Economics, Finance, Operations Research, Engineering), Ph.D. preferred
7+ years of relevant work experience
Knowledge of stochastic calculus and option theory
Knowledge and experience in statistical modeling, time series, numerical solutions, Monte-Carlo simulation and econometric models
Knowledge and experience with financial valuation techniques and derivatives pricing
In-depth knowledge of asset-liability management (ALM), interest rate risk and related concepts. Experience in Moody’s Risk Authority or QRM highly desirable
Knowledge and experience in liquidity risk models and techniques
Hands-on experience in building financial models such as value-at-risk and earning-at-risk
Experience is scenario analysis and CCAR stress testing
Ability to communicate complex financial and statistical models to internal/external model validation teams and other stakeholders
Experience in writing technical documentation
Strong programming skills in SAS, VBA and SQL. Proficiency in Excel
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