Senior Analyst/Associate - Liquidity Management Modelling - Bank

Treasury :

Treasury at Client Bank is responsible for the sourcing, management and optimization of liquidity and capital to deliver high value risk management decisions. 

This is underpinned by a best-in-class integrated and consistent Treasury risk framework, which enables Treasury to clearly identify the Bank's resource demands, transparently set incentives by allocating resource costs to businesses and manage to evolving regulation. 

Treasury's fiduciary mandate, which encompasses the Bank's funding pools, Asset and liability management (ALM) and fiduciary buffer management, supports businesses in delivering on their strategic targets at global and local level. Further Treasury manages the optimization of all financial resources through all lenses to implement the group's strategic objective and maximize long term return on average tangible shareholders- equity (RoTE).

Function Description :

The Liquidity models team is part of Treasury Liquidity Management and is responsible of development, maintenance and documentation of product specific liquidity models for the group liquidity stress test.

Role Description :

The candidate will be part of the Liquidity Management function responsible for the modelling of the Bank's short-term liquidity stress test and will develop strong working relationships with key stakeholders, including the Liquidity Reporting team, the Risk 2nd line of defense function, and counterparts in the business, with the aim of development, maintenance and documentation of our liquidity risk models. The candidate will work closely with the Liquidity models team in London.

The core deliverable for the roles are :

- Work with London based staff on the development of and enhancements to the Bank's liquidity stress models

- Conducting the what-if analytics for the stress models / adhoc stress scenario analysis

- In-depth root cause analytics for the major contributors to the stress outflow/inflow

- Implement models in the strategic stress platform using SQL, Python, R or equivalent

- Liaising with Front Office, Risk, IT and Reporting to ensure robust model development and implementation

- Producing and maintaining up to date model documentation

- Involvement in Treasury change initiatives including working with IT in the automation of liquidity stress test

Core Skills :

- Strong analytical skills

- Basic understanding of liquidity risk

- Basic understanding of stress testing

- Basic understanding of balance sheet

- Good understanding of derivatives, secured and unsecured products

- Strong Excel skills is essential (including VBA)

Experience/ Exposure :

- Degree in a quantitative discipline or equivalent

- At least couple of years of experience in Risk management or Treasury

- Experience in financial data analysis/modelling

- Coding experience in any of the following : SQL, Python, R or equivalent