Non Traded Market Risk Oversight (Liquidity, ALM and IRRBB)

 

Organisation

 

A large investment bank is looking for an individual to join their Market Risk Management function, to perform oversight over the IR, Non Traded and Liquidity Risk Management bank wide.

 

Role

 

• Oversight of ALM, liquidity and IR risk in the non-traded environment.

• Oversight of traded market risk within group treasury function

• Stress testing of liquidity positions, development funding and liquidity policy, further exposure to transfer pricing policy

• Participate in team responsible for the contingency funding planning.

• Development of analytics for the ALCO committee

• Manage non-traded market risk exposures against bank policy, risk framework, limits and triggers daily.

• Consult with and challenge the non traded banking business and group treasury on behalf of risk management group

• Development of qualitative and quantitative risk management methodology to enhance the risk management framework and reporting

• Validation of positions and key ratios via sophisticated financial modelling

 

Individual

 

• Direct experience of market risk within a traded or non traded environment

• Understanding of banking book and treasury products including FX, IR and Derivatives

• Understanding of hedging strategies, transfer pricing or economic capital desirable

• Exposure to Capital Adequacy and Basel Accords

• Strong tertiary Qualifications; with post graduate qualifications or CFA desirable

• Exposure to quantitative modeling, manipulating large amounts of data, SQL queries.