Treasury Valuation Manager
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Job Location:
New York City, NY - USA
Monthly Salary:
Not Disclosed
Posted on:
3 days ago
Vacancies:
1 Vacancy
Job Summary
The Role:
Were looking for a Treasury Valuation Manager to lead valuation and modeling efforts across Treasurys balance sheet funding and liquidity activities. This role will sit at the intersection of quantitative cashflow modeling valuation methodologies and model risk governanceowning both model development and the controls needed to operate in a strong risk and regulatory environment.
What Youll Do:
- Develop quantitative cashflow and valuation models for Treasury assets and liabilities (e.g. deposits debt securitizations derivatives/hedges loan portfolios).
- Build and maintain model frameworks for discounted cashflow (DCF) curve construction spread modeling optionality and scenario/stress analysis.
- Partner with Treasury Finance Risk and Accounting to ensure valuation approaches align with business strategy financial reporting needs and risk appetite.
- Produce and explain valuation results sensitivities and drivers to senior stakeholders; support decision-making for funding and hedging strategies.
- Own and improve model governance practices including model documentation change management assumptions governance validation readiness and ongoing monitoring.
- Serve as a key point of contact for model risk management (MRM) and internal/external audits: address findings implement controls and maintain evidence.
- Define and monitor key model performance indicators (KPIs) back-testing benchmarking and periodic recalibration processes.
- Contribute to best practices across modeling code quality and control standards.
What Youll Need:
- 6 years of experience in Treasury valuation quantitative finance ALM or financial risk modeling including leadership/ownership of deliverables.
- Demonstrated expertise in developing quantitative cashflow models (DCF and scenario-based forecasting) for financial instruments and balance sheet products.
- Strong background in model risk governance: familiarity with model lifecycle controls documentation standards validation requirements and audit expectations.
- Solid understanding of interest rate markets yield curve construction discounting spreads and risk sensitivities (DV01 duration/convexity etc.).
- Programming capability in at least one: Python R MATLAB or C; ability to build repeatable tested modeling pipelines.
- Experience working with large datasets; comfort with SQL and/or data warehouse tooling is a plus.
- Strong written and verbal communication skillsable to clearly explain complex quantitative concepts to non-quants.
Preferred Qualifications
- Experience with consumer loans valuation deposit valuation behavioral modeling (beta/decay) prepayment/optionality or hedging/derivatives valuation.
- Familiarity with MRM frameworks (e.g. SR 11-7 / OCC 2011-12 concepts) and model documentation/validation processes.
- Knowledge of accounting impacts (e.g. hedge accounting concepts) and valuation control frameworks.
- Advanced degree (MS/PhD) in a quantitative field (Financial Engineering Math Stats Physics CS Economics) or equivalent experience.
Tools & Technologies (Nice to Have)
- Python ecosystem (NumPy pandas SciPy) Jupyter Git
- SQL Snowflake/Databricks Airflow (or similar)
- Familiarity with vendor valuation systems ALM platforms or curve engines
What Success Looks Like (First 612 Months)
- Deliver and productionize robust cashflow/valuation models with clear documentation and well-defined assumptions.
- Establish a strong governance rhythm: monitoring change control validation support and audit-ready evidence.
- Improve transparency of valuation drivers and sensitivity reporting for key Treasury portfolios.
Required Experience:
Manager
Key Skills
- Business Development
- Litigation
- GAAP
- Accounting
- Pricing
- Analysis Skills
- Research Experience
- Securities Law
- Financial Analysis
- Financial Modeling
- Leadership Experience
- Mentoring
About Company
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