Head of ALM Modelling (retail bank/start up) recruitment
Role
• Own and manage centralised ALM modelling in terms of market risk, policy and risk methodology.
• Manage modelling in support of external IRRBB reporting
• Support modelling required for Liquidity Reporting Framework (ILAS, Stress Testing).
• Responsible for ensuring that updates for the QRM forecast and plans for assumptions are maintained and validated.
• Responsible for the development of ALM modelling and analysis methodology.
• Provide support across ALM for the development of EUC’s required by the business.
Experience
• Knowledge of and experience of using QRM would be desirable.
• Good knowledge of ALM techniques and practices.
• Working knowledge of risk analysis techniques.
• Knowledge of Treasury instruments and their valuation methods including interest rate swaps and option products.
• Knowledge of Retail and Commercial Banking products preferably in a Treasury environment.