VP, Treasury
Balance Sheet Management and NII Forecasting
- Projections of balance sheet composition and funding gaps/surpluses
- Quantify Net interest income impact and change over time
- Liaise with business to understand asset growth forecasts and to incorporate into Treasury analysis
- Support Treasury leadership in developing balance sheet strategies
- Deliver accurate, timely and transparent reporting for:
o Internal stakeholders (e.g. ALCO)
o External stakeholders (e.g. FSA and Rating Agencies) - Maintain a close working relationship with Risk to ensure that output is aligned and fully integrated with Liquidity reporting requirements
Interest Rate Risk Funds Transfer Pricing
- Ensure that non[traded market risk is correctly expressed, measured and analysed based on methodologies such as VaR, EaR (value at risk and earnings at risk) NII (net interest income) simulation and others of similar scope and complexity
- Calculate Funds Transfer Pricing and ensure that it is correctly recovered from relevant businesses.
Experience:
- Regulatory Knowledge as applicable to role
- Preferably a quantitative degree (or equivalent), such as Maths based disciplines (e.g. Engineering, Economics, Statistics)
- Previous background of working an ALM focused role
- Excellent report building skills with an ability to create management information from raw data
- An understanding of and experience using models for Earnings at Risk, Value at Risk, Funds Transfer Pricing, and Margin Forecasting analyses
March 25, 2013
• Posted in: Financial
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