Description
Role title: QRM Modeller
Key skills:
QRM balance sheet management, experience working within BSM/ALM function, Maths-based degree (eg Engineering, Economics, Statistics, etc)
Our client, a leading UK Retail bank, has an urgent requirement for a QRM Modeller.
The role is accountable for analysis and reporting across the organisation using the QRM balance sheet management system.
Specifcally the role will be responsible for:
Balance sheet management
- Produce projections of balance sheet composition, leverage ratios and funding gaps
- Deliver accurate, timely and transparent reporting for internal and external stakeholders
- Support Group Treasury leadership in developing balance sheet strategies
- Liaise with business to understand pricing and growth strategies of their portfolios
- Maintain a close working relationship with Treasury/Balance Sheet Management teams across the organisation to ensure that modelling is consistent with best practice
Funds Transfer Pricing and Interest Rate Risk
- Ensure that non-traded market risk is correctly expressed, measure and analysed based on methodologies such as NPV, NII simulation and others of similar scope and complexity
- Calculate Funds Transfer Pricing charge/reward for balances businesses originate
- Support Group Treasury Funding and Interest Rate Risk desk with analysis and reporting to manage Group Treasury's portfolios
Required skills/experience
- Degree in a Maths based discipline, eg Engineering, Economics, Statistics, etc
- Significant progressive experience working within a BSM/ALM function or with BSM/ALM systems in a Tier 1 commercial, retail or investment bank
- Extensive experience utilising QRM model for Earnings at Risk, Value at Risk, Funds Transfer Pricing, Duration of Equity and Margin Forecasting analyses
- Knowledge of ALM/FTP practices gained through recent work experience in Management Consulting or investment banking FIG
- Strong working knowledge of Microsoft Office applications and expert Excel user
- Excellent numeric ability
- Strong presentation skills and ability to present to senior management
- Ideally Masters degree or professional qualification such as ACA, CFA, MBA
- Experience developing presentations/pitch books for investment bank clients, rating agencies or investors
- Capable of consistently producing accurate information on tight deadlines
- Flexible approach to work, able to play key role within a small, high calibre function
- Works effectively in a high pressure/variable working environment
- Communicates technical concepts to senior personnel in a succinct manner
Please note that, due to the high level of applications we receive, we are not able to provide individual responses. If you have not heard from us within 5 working days, please assume that you have not been successful on this occasion. Services advertised by Campion Willcocks & Associates Ltd are those of an agency and/or employment business.