Description
A Top Tier Bank are looking for a Risk Manager for a 12 month contract delivering the documentation of the current Governance Framework.
The successful candidate will be involved ion the implementation for the Interest Rate Risk in the Banking Book Model and QRM Model Configuration.
Key Responsibilities:
- The intended use of QRM and comparison with existing models, systems and controls with a clear explanation of how QRM results and processes differ.
- Model development and testing in accordance with Model Development and Testing Policy.
- The suite of populated reports to be used for internal and external reporting.
- Agree documentation requirements, timing and format with the Independent Validation Unit (IVU). Ensure this is communicated and well understood by all key stakeholders and provide a plan to meet this timetable.
- Provide evidential documentation of QRM configuration, risk methodology, data, systems and controls for IRRBB
Requirements:
- Minimum of 10 years experience in a senior capacity within Asset & Liability Management/Structuring or Product Control.
- Strong quantitative knowledge in ALM methodology and risk metric calculations for Banking Books, to include Net Interest Income Sensitivity, Economic Value Sensitivity, Basis Risk, PVBP calculations and Interest Rate Gap; understanding of SOX.
- Expert understanding of the risk management practises for pipeline risk, structural risk, basis risk.
- Must also be proficient in funds transfer pricing methodologies.
- Expert of model documentation standards around A* rated models for model approval. Must be an effective translator of complex models/technical information.
- Solid and maintained knowledge of latest financial modelling techniques, product knowledge and the competitor environment
- In depth understanding of the drivers of value associated with the balance sheet.
- Knowledge of QRM or other ALM Risk Management Software
- Degree discipline should be in a Financial/Mathematics/Economics or related subject.
- Second Degree (preferred but not essential) either in a Financial/Mathematics/Economics or related subject preferred