Job Description
Responsibilities
- Operate centralised modelling in support of the bank's asset and liability management in terms of market risk, policy and risk methodology.
- Operate modelling in support of the bank's external IRRBB reporting based on divisional output, Treasury BSM and Treasury submissions.
- Market risk modelling in support of reporting and MI for ALCO, BSMC and other governance committees.
- Support modelling required for Liquidity Reporting Framework (ILAS, Stress Testing).
- Support ALM Business Interface to define the structure of the ALM risk model ensuring that the models represent business unit market and liquidity risk in the most appropriate manner.
- Ensure that there is alignment between the ALM model and the financial planning process.
- Work with Treasury Risk team to ensure that ALM modelling assumptions and methodology are in line with policies.
- Support and assist the development of the ALM systems infrastructure
Experience
- Previous ALM Modelling experience
- Thorough knowledge of and experience of using QRM.
- A strong understanding of complex financial models with multiple interdependent relationships.
- Working knowledge of risk analysis techniques.
- Knowledge of Treasury instruments and their valuation methods including interest rate swaps and option products.
- Knowledge of Retail and Commercial Banking products preferably in a Treasury environment.
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