Opening for VP ALM Model Execution for a a British universal bank.

Job Title : VP ALM Model Execution (Insights)

Corporate Grade : VP

Reports to (Line Managers Job Title) : Head of ALM Insights

Direct Reports (if applicable) : 5

Business Area : Treasury

Location - Chennai

Overall purpose of role

The role holder will sit within Model Execution team within the Insights COE which is responsible for analysis of IRRBB risk across all entities, businesses and product types including the modelling and justification of their capital impacts. They will be responsible for managing the delivery of relevant and timely reporting on IRRBB risk metrics, Funds Transfer Pricing (FTP) and behavioural models working in unison with the wider ALM Insights COE and other Treasury centres of excellence.

Essential Skills/Basic Qualifications -

- Experience of the risk management activities of Treasury and/or Balance Sheet Management function;

- Experience of running IRRBB and FTP systems and processes;

- Good understanding of Interest Rate Risk in the Banking Book;

- Excellent numeric and analytical skills;

- Ability to work as part of a team and add value to the development of the ALM function;

- Strong working knowledge of Microsoft Excel (Pivot tables, vlookups, sumifs etc.);

- Strong presentation and communication skills;

- Knowledge of products and services offered by major banks, the inherent risks and how to mitigate them;

- Understanding of risk metrics like AEaR, EVE and VaR including the impact of hedging strategies, strengths and weaknesses of key assumptions.

- Experience of managing a high performing team as well as strong leadership skills

Desirable skills/Preferred Qualifications:

- Degree / MSc in a quantitative discipline;

- Previous working experience of using SQL and/or QRM;

- Understanding of mechanisms for quantifying and hedging direct and indirect non-traded market risks;

- Knowledge of key EBA/PRA and Basel regulations on IRRBB and NTMR.

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Tejashree Waradkar
Recruitment Consultant @ Black Turtle
B-208, Kailash Business Park, Next to Parksite, Vikhroli(West), Mumbai 400079, India
Call & Whtsapp: 8454843560
Linkedin- linkedin.com/in/tejashree-waradkar-5328b86a

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