Liquidity Risk Measurement & Stress Testing Analyst
The team’s primary role is to provide the business with a clear understanding of risk appetite, enabling it to operate within the principles and frameworks established by Group and the divisional Asset and Liability Committees. This includes the identification and quantification of material liquidity risks; the construction of sophisticated models to assess balance sheet behaviour and liquidity requirements in stress; and development of policies that embed liquidity risk within the business, having a direct influence over both transactional and strategic decision-making.
Further to the above, the team also plays a key role in the delivery of the broader Group Treasury and IB Finance strategic agendas.
The responsibilities of the team are characterised by the following broad disciplines:
- Oversight, Policy Development and Compliance
- Risk Measurement Stress Testing
- Limit Setting, Management Optimisation
- Funds Transfer Pricing Development
- Regulatory Developments
Role
This role will primarily support the team’s activities as they relate to identifying, measuring and reporting liquidity risk across the IB division. This includes input into the development of sophisticated stress testing models, used within the context of active risk management, informing the divisional Asset Liability Committees and as an integral component within strategic planning. Furthermore, there will be a requirement to support the broader liquidity management agenda, which includes assessing the business impacts associated with regulatory developments, constructing policy responses to manage emerging risks and embedding liquidity risk within business decision making through the formation of transfer pricing policies.
The role incorporates the following core requirements:
- Support the development of frameworks for the derivation of cash flow modelling across a range of stress testing, including ILAA, Integrated and Treasury-specific scenarios.
- Provide input into the on-going challenge and refinement of stress testing assumptions across key liquidity risk drivers.
- Produce, analyse and explain the performance of divisional liquidity stress tests. This should incorporate both material drivers of month-on-month movements, in addition to performance against limit.
- Establish a range of management actions for consideration by divisional ALCo, as part of the Group’s Contingency Funding Plan.
- Support the development of a robust divisional liquidity management framework, ensuring compliance with both Group and divisional ALCo-approved policy standards.
- Work with the wider liquidity management team to advance best in class liquidity MI, for use in the prudential management of liquidity risk and to provide divisional ALCo and ExCo with relevant risk-based information and utilisation of scarce resource.
- Analyse emerging regulatory developments, providing support and input into policy decisions, risk management and business mitigation.
- Contribute towards regular updates to IB ALCO with respect to a broad range of liquidity issues, including: policy development, risk frameworks, contingent funding requirements and management actions.
- Establish credibility and effective working relationships with key subject matter experts and other stakeholders from across the division and wider Group, including: Treasury Markets, Finance, Risk and Group Treasury.
- Establish collegiate partnerships across IB Treasury, in order to deliver on the wider objectives of the function.
- Broad and deep knowledge of banking trading businesses from Finance, Product, Treasury or Risk perspective
Familiarity with credit/liquidity risk, finance processes, funding or other ALM perspective desirable
- Understanding of key funding issues, client pricing mechanisms, Asset and Liability Management especially Liquidity.
- Modelling skills
Good working knowledge of both the current and prospective regulatory rule book as this pertains to Liquidity.
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