AVP – ALM

Risk analytics: Structural hedging and new product development  

 

Critical evaluation of all structural hedge positions including assessment of duration and relationship with product  behavioural life

 

Analytical review of structurally hedged positions and formulation of proposals around hedge increases/decreases and changes to duration

 

Working with the business, market risk and business Treasury to formulate new structural hedge proposals

 

 

IRRBB Risk analytics

 

Act as a point of contact with the business to ensure all existing risks are well understood and managed, new risks go through a well-defined sign-off process, and that any key risk issues are raised and discussed at governance committees

 

Provide assistance and advice to the businesses on new banking book product interest rate risk pricing and hedging

 

Work with business and market risk to identify opportunities to price Retail products in a manner which removes customer optionality from cluster balance sheets

 

Assist in the development of metrics to assist businesses understand second order risks (margin compression, rate floor, margin decompression) on both side of the balance sheet

 

Assist in compilation of proposals for presentation to business governance forums, Treasury Hedge Committee and Group ALCOedging committee

 

Consideration of relationship between FTP sensitivities and Interest Rate Risk to better describe scenarios where the firm may be exposed to losses/compression in margins.

 

Develop sensitivity metrics to describe hedge and product performance under various scenarios.

 

 

Other

 

Assistance with specification and testing of system output on behalf of ALM/FTP

August 30, 2013 • Tags:  • Posted in: Financial

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