QRM Modeller - balance sheets, BSM/ALM - Contract - London - £600 per

London  ‐ Onsite
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Keywords

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.

Start date
n.a
From
Campion Willcocks & Associates
Published at
25.05.2012
Project ID:
368839
Contract type
Freelance
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