ALM Risk Manager recruitment
Responsibilities
• Risk Oversight: via detailed understanding of the balance sheet and drivers of market risk within it, including risks such as FV volatility, counterparty credit risk, FX and FTP risk. Work with product teams to structure and identify cost-effective hedging strategies within agreed risk limits.
• Review and Challenge: Develop expert understanding of risk measures and factors that are driving them in the balance sheet and challenge businesses on level of risk embedded within balances sheets. Lead review of FTP behavioural profiles and ensure FTP process is optimal. Involvement in structural hedging reviews, balance sheet reviews and stress testing.
• Policy and Governance: ensure all policies are up to date and capture accurately the treatment of all market risks. Ensure risk utilisation is within limit and investigate where breaches occur. Responsibility for definition and regular review of risk appetite levels.
• Risk Measurement: Develop framework for FTP risk measurement and embed robust framework, develop adhoc models to capture risks not currently measure within existing risk measurement framework.
• Communication: Work closely with a wide variety of stakeholders to ensure Market Risk objectives are efficiently delivered and represented at high level forums and committees when necessary
Experience
• Numerate/analytical either through degree or post grad studies (CFA, Accountant, AMCT).
• Min 3 years in a non-traded market risk/ALM/balance sheet management role.
• Strong skill set in Interest rate risk, FX interest rate hedging.
• Strong skill set in IRR measures (EVE, Net interest sensitivity, DVaR etc…)
• Good understanding of Balance Sheet, PL drivers, liquidity, transfer pricing and pricing of financial instruments (i.e swap and bond pricing).
• Excellent communication and stakeholder management