Thursday , February 2 2023

Argos Recruitment – Interest Rate Risk ALM Manager

Website Argos

Job Description:

The purpose of the Interest Rate Risk Manager role is to develop, implement and maintain an effective and well controlled Interest Rate Risk framework. This will involve developing, maintaining, and operating both Interest Rate Risk in the Banking Book (IRRBB) models on Quantitative Risk Management (QRM). You’ll also contribute to related strategic projects.

Job Responsibilities:

  • Help develop new IRRBB models
  • Collaboration with key stakeholders to ensure all models/frameworks satisfy regulatory requirements, best industry practices and Bank’s internal requirements.
  • Take ownership of the Market Risk Policy Standard and Methodology.
  • Aid with the monthly hedge accounting reports to regulatory reporting.
  • Identify and instruct required Interest rate hedging transactions.
  • Deliver all weekly, monthly, and quarterly regulatory reports such as FSA017 and Basis Risk reports.
  • Being an advanced QRM user, including knowledge of model development and implementation (ETL layer, portfolio, market and assumption sets, products, planning, and portfolio runs, strategy, trees, periodicity).
  • Facilitation efficient communication with key stakeholders in Financial Planning & Analysis and Product Decision Support teams to ensure input assumptions are valid, sufficient, and complete for measurement and monitoring of Interest Rate Risk of future mortgages plans (pricing assumptions, new volumes)
  • Verify all IRRBB behavioural assumptions for all products.
  • Assist with the preparation of Asset Liability Management Committee (ALCo) papers
  • Deliver the IRRBB month end process including production of reports such as Earnings at Risk ([email protected]) and Economic Value of Equity (EV).
  • Develop and streamline month end processes.

Job Requirements:

  • Excellent data analysis and interpretation skills
  • Excellent team player with ability to collaborate closely with all parts of the bank to deliver results
  • Robust awareness of the control environment requirements within financial services
  • Experience of influencing at executive level
  • Detailed understanding of QRM, its workings, capabilities, and operation
  • Well organized and able to prioritize and work effectively under pressure
  • Excellent verbal and written communication skills.
  • Advanced Excel and a good understand of Macros, VBA and SQL.
  • Knowledge of Treasury markets, derivatives, and economics
  • Knowledge of IRR management techniques and FTP models
  • Degree qualified in a quantitative discipline such as Mathematics or Finance or equivalent professional qualification
  • Knowledge of broader Asset and Liability Management principles and techniques

Job Details:

Company: Argos

Vacancy Type:  Full Time

Job Location: London, England, UK

Application Deadline: N/A

Apply Here