American Express Treasury Modeling & Analytics team is responsible for development, maintenance, testing and documentation of modeling frameworks and methodologies used in asset-liability management, exposure management and market risk, as well as components of Comprehensive Capital Analysis and Review (CCAR) and Internal Capital Adequacy Process (ICAAP).
Requirements
- Knowledge and experience with financial valuation techniques and derivatives pricing
- Knowledge and experience in asset-liability management (ALM), interest rate risk and liquidity risk are a plus
- Hands-on experience in building statistical and financial models using various techniques and large datasets
- Experience is scenario analysis and stress testing
- Experience in writing technical documentation
- Programming skills in Python and SQL
- Proficiency in Microsoft Excel and PowerPoint
Responsibilities
- Development, maintenance, testing and documentation of various models
- Participate in firm-wide CCAR stress testing
- Supporting ALM team on model maintenance and required analysis
- Collaboration with other modeling teams within American Express Finance
- Communicating models internally and incorporating stakeholder feedback
- Interaction with the internal validation and audit groups in addressing model validation findings
Other
- Master’s degree in a quantitative discipline (Economics, Finance, Statistics, Operation Research, Engineering) or MBA degree with proven analytical and quantitative experience (Ph.D. preferred)
- 2+ years of relevant work experience preferred
- Employment eligibility to work with American Express in the U.S. is required as the company will not pursue visa sponsorship for these positions.
