IRRBB Manager
Full Job Description
- Assist Head of IRRBB policy in designing and wording best practice policies for Group`s ALM-ALCO framework, primarily related to Interest Rate Risk in the Banking Book, basis risk, prepayment risks, and transfer pricing.
- Co-ordinate global sign-off of IRRBB behaviouralisation policies with Regional ALCM teams , the Head of IRRBB policy and Wholesale Market Risk
- Support Global QRM Roll-Out in co-operation with Head of IRRBB policy and a dedicated global project team.
- Establish QRM validation approach of new implementations in sites and drive actual validation process around
the world.
- Ensure adequate reporting framework is in place in various ALM regions (QRM roll-out) to allow ALCOs to monitor
the above non-traded market risks.
- Review ALCO papers received from regional ALCM sites
- Hands-on experience in monitoring and reporting Interest Rate Risk in the Banking Book through measures like
Interest rate risk sensitivity gap, Economic Value of Equity (EVE), Net Interest Income sensitivity (NII),
Basis risk position and Refix position
- Experience in Stress test Interest rate risk in the Banking book, Basis risk and reporting economic capital
- Ideally candidate should be knowledgeable in analyzing movements in market value of equity, net interest income sensitivity due to management decisions, tick downs, new balances
- Experience in regulatory reporting (e.g. FSA 017)
- Knowledgeable in review of various interest rate risk modelling methodologies-assumptions like savings
products beta assumptions, run off assumptions etc.
- Knowledge of QRM programming and reporting would be a plus
- Good understanding of the range of financial services undertaken by the Group and the products offered by those businesses
- Strong written and verbal communication and interpersonal skills for dealing at senior management levels across
the Group and for summarising complex and technical subjects.
A Global Bank based in London
Competitive Package
Where specific UK qualifications are required we will take into account overseas equivalents.
Please quote Michael Page reference when applying Job ref:MPGX13250715
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