Director, ALM, Group Treasury recruitment

Responsibilities

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 divisions 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. 

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

• Take the lead in business liaison on new banking book product  pricing and hedging

• Negotiation of risk transfer trades with Execution Services and Investment Function

• Oversight of Basis risk in the banking book and the recommendation of appropriate hedges to mitigate this risk.

Experience

• 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.