ALM Manager, IRRBB, Group Treasury recruitment
Responsibilities
• Liaise with the business area to define the structure of the ALM risk models.
• Maintain and develop the use of the Divisional models ensuring that the models represent the market and liquidity risk in the most appropriate manner in the Group's ALM tool.
• Review and advise the business areas on the management of market and liquidity risk during the New Product Approval process ensuring that any new product is designed such that the risk can be managed and is within the defined risk appetite of the Group.
• Provide analysis and commentary to assist in the preparation of market and liquidity risk reports for presentation to ALCO's / Hedging Committees.
Experience
• A working knowledge of Market and Liquidity risk management techniques including:
oEarnings at Risk
oValue at Risk
oGap Reporting
oStress Testing
• Knowledge of Treasury instruments and their valuation methods including Interest Rate Swaps and Options.
• Knowledge of Customer Banking products, for example Mortgages and Savings accounts.
• An understanding of complex financial models with multiple interdependent relationships.
• A working knowledge of ALM software tools (QRM or Bancware)