Rates Modelling in Bank ALM vs Markets

frattyquant · March 24th, 2011, 9:22 am

HiI'm interviewing for a position as in interest rates modelling at a relatively large bank. Based on what I've heard so far, I would need to build/implement some term structure models to hedge mortgage prepayment risks with OTC instruments. I was wondering if any of you had experience working in bank ALM, I'm curious to know how this would be different from being a quant in the Markets division of a bank.Thanks!

fg2109 · March 26th, 2011, 5:19 am

I don't have any advice for you. But would tremendously appreciate you posting after your interview as I am interested in knowing more as well. Thanks,