Rates Modelling in Bank ALM vs Markets
Posted: 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!