Salary £60,000 - £70,000 per annum
Consultant Kirsten Carabott
Date posted 23 July 2018Robert Walters United Kingdom
A Global Investment Bank based in London is looking for a ALM Analyst to join their Treasury function as it aims to ensure the group complies with new BCBS368 regulatory requirements for managing Interest Rate Risk in the Banking Book.
The key focus of this role is to ensure the ALM is developed and implemented enhancing models,standards and governance to ensure regulatory requirements are met by December 2018.
Key responsibilities in the ALM Analyst role include:
- Working with the QRM and Risk teams to develop and enhance modelling in QRM to ensure the bank is ready for both BCBS368 and EBA IRRBB requirements
- Review all assumptions used in interest rate risk behavioural modelling, ensuring they are appropriate and robust, with an annual governance process in place
- Work as part of a team to document the overall IRRBB strategy across the Group and rolling this out to each of the different entities
- Help build a more robust QRM model including stress testing and different scenario analysis.
A successful application in the ALM Analyst roile will include:
- Excellent knowledge of Interest Rate Risk in the Banking Book (IRR) from a data requirements and data sourcing perspective.
- Excellent analysis skills, including data analysis skills
- Exposure to ALM and QRM metrics is highly advantageous.
- A strong numeric degree
- Good numeric ability and analytical skills
Should you be interested, please get in touch at email@example.com / 020 7509 8447