Senior Asset Liability Modeling Specialist

Job Title: Senior Asset Liability Modeling Specialist

Location:
UAE (Remote) Employment Type: Full-Time Level: Senior Work Arrangement: Fully Remote

About Us
We are seeking an experienced Senior Asset Liability Modeling Specialist to develop, maintain, and enhance asset-liability management (ALM) models used to evaluate balance sheet risks, interest rate sensitivity, liquidity positions, and long-term financial stability. This role is responsible for analyzing the relationship between assets and liabilities, assessing potential impacts from changing market conditions, and providing quantitative insights to support strategic financial planning and risk management. The successful candidate will collaborate with treasury, finance, actuarial, investment, and risk management teams to improve modeling accuracy, strengthen risk controls, and support informed management decisions.

Key Responsibilities
ALM Model Development: Develop, maintain, and validate quantitative models to assess the interaction between assets, liabilities, cash flows, and funding requirements. Interest Rate Risk Modeling: Analyze interest rate risk in the banking book and other relevant portfolios, including changes in economic value and projected net interest income under different rate scenarios. Balance Sheet Analysis: Evaluate asset and liability structures, maturity profiles, repricing characteristics, duration gaps, and concentration risks. Cash Flow Projection: Build cash flow models incorporating contractual payments, expected prepayments, reinvestment assumptions, liability runoff, and other behavioral factors. Scenario Analysis and Stress Testing: Design and execute scenarios covering interest rate shocks, yield curve movements, liquidity stress, funding cost changes, and adverse market conditions. Behavioral Modeling: Develop and review assumptions relating to non-maturity deposits, customer withdrawals, loan prepayments, early redemptions, and other behavioral cash flow characteristics where applicable. Liquidity and Funding Analysis: Assess funding gaps, liquidity profiles, asset encumbrance, contingency funding needs, and the impact of stressed market conditions. Model Calibration and Validation: Calibrate model parameters, test assumptions against historical observations, assess model performance, and investigate deviations between projected and actual outcomes. Risk Measurement: Calculate and interpret duration, convexity, repricing gaps, economic value sensitivity, earnings sensitivity, and other relevant ALM risk metrics. Data Quality and Integrity: Validate data inputs, reconcile source information, investigate anomalies, and ensure that model outputs are reliable and traceable. Risk Reporting: Prepare ALM reports, sensitivity analyses, scenario results, and management dashboards for senior management and relevant governance committees. Policy and Regulatory Support: Support compliance with applicable ALM policies, risk limits, model governance standards, and relevant regulatory requirements. Model Governance: Maintain model documentation, assumptions registers, validation evidence, change controls, and audit trails. Strategic Decision Support: Provide quantitative analysis to support balance sheet planning, investment allocation, funding strategies, and risk-adjusted decision-making. Process Automation: Improve modeling workflows, reporting processes, data pipelines, and analytical tools to enhance efficiency and reduce manual errors. Stakeholder Collaboration: Work with treasury, finance, market risk, liquidity risk, investment teams, and technology specialists to address complex modeling requirements. Technical Leadership: Review analytical work, guide junior team members, and promote consistent modeling practices and sound quantitative judgment. Qualifications and Experience Bachelor's degree in Finance, Economics, Mathematics, Statistics, Actuarial Science, Financial Engineering, or a related discipline. A master's degree is advantageous. Professional qualifications such as CFA, FRM, PRM, actuarial credentials, or equivalent qualifications are preferred. Significant experience in asset-liability management, balance sheet risk, quantitative modeling, treasury risk, or financial risk analytics. Strong understanding of ALM principles, interest rate risk, liquidity risk, balance sheet dynamics, and financial instrument cash flows. Experience developing quantitative models for interest rate sensitivity, earnings projections, duration analysis, and scenario-based risk assessment. Knowledge of yield curves, discounting methodologies, repricing structures, behavioral assumptions, and financial forecasting techniques. Familiarity with banking or insurance balance sheets is advantageous, depending on the organization's business model. Understanding of relevant ALM regulatory frameworks and risk management standards, such as applicable Basel requirements for banking institutions or applicable solvency requirements