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
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