Director
Ownership of centralised banking book risk position for IR and FX risk to include:
Product Structural hedging 30%
- Ownership of governance framework around basis risk within the banking book as well as structural risk management.
- Point of contact for all FX hedge related business queries - liaison with execution function on transaction strategy on behalf of the business
- Responsible for business relationships on all structural hedge positions including liaison around hedge increases-decreases, assessments of whether duration is appropriate vs. current profile and recommendations to ALCO on any changes.
- Responsible for any proposals around changes to scale and or duration on the Group equity hedge.
Macro Balance Sheet risk analysis and hedging 60%
- Liaise with clusters in terms of Interest Rate and FX risk on individual balance sheets.
- Responsible for the creation of Bank-wide risk sensitivity metrics and stress tests to describe the behaviour of the Group wide balance sheet under various interest rate environments.
- Formulate hedging strategies with a view to proposal at ALCOs
- Formulate hedging strategies and work with business to agree. Compilation of proposals for presentation to Group ALCO
- Consideration of relationship between FTP sensitivities and Interest Rate Risk to better describe scenarios wherethe Bankmay be exposed to losses-compression in margins.
- Take the lead in business liaison on new ban
Highly numerate
Understanding of interest rate risk in the banking book including measurement techniques and hedging strategies
Extensive liaison required with individual business units.
Ability to communicate complex principles simply to all stakeholders.
Experience in managing high performing teams and influencing skill across areas within Treasury and the business.
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:MPGX13238289
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