Associate Director
Risk analytics: Structural hedging and new product development 30%
Analytical review of structurally hedged positions and formulation of proposals around hedge increases-decreases, changes to duration and assessment of relationship with FTP behavioural lives.
Contribute to proposals around changes to scale and or duration on the Group equity hedge.
Liaise with clusters new banking book product interest rate risk pricing and hedging
IRRBB Risk analytics 60%
Assist in the production of an aggregated, group wide view of interest rate risk in the banking book and develop sensitivity metrics to describe performance under various scenarios.
Develop metrics to assist businesses understand margin compression risks on both side of the balance sheet
Formulate hedging strategies and work with business to agree strategy. Assist in compilation of proposals for presentation to Group ALCO- Treasury with a view to proposal at ALCO
Consideration of relationship between FTP sensitivities and Interest Rate Risk to better describe scenarios wherethe Bankmay be exposed to losses-compression in margins
Assist in the negotiation of risk transfer trades with TES and Investment Function
Assist with management of basis risk in the banking book and the recommendation of appropriate hedges to mitigate this risk.
Other 10%
- Responsibility for ensuring a smooth transition of all interest rate hedging for product specific
Highly numerate
Understanding of interest rate risk in the banking book including measurement techniques and hedging strategies
Communication skills
Global Banking Group
Competitive Package
Where specific UK qualifications are required we will take into account overseas equivalents.
Please quote Michael Page reference when applying Job ref:MPGX13239325
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