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Treasury – ALM Specialist – 9 month salary contract

Empirical Search
Greater London
2 months ago
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Role Description

Contribute to implementing the Market Risk policy and accompanying standards on managing Interest Rate Risk in the Banking book, including working with the businesses to review business assumptions and key risk indicators Propose trades to hedge the interest rate risk that arises on the business balance sheets and ensure that the intercompany funding process operates effectively Work closely with the ALM Risk team to ensure that the risk position is well understood and captured in Risk metrics Work with the business to evolve behavioural modelling on assets and liabilities, to inform interest rate risk measurement and liquidity treatment Support the production of enhanced analytics and modelling approaches to support the ALCO agenda Own and complete the Treasury ALM monthly BAU processes Maintain procedures that detail how the internal hedging and behaviouralisation process operates Produce and develop MI that shows the effectiveness of the Treasury hedging programme Document key assumptions, risk drivers and limitations of models used for ALM scenarios and key stress tests Support the production of ad-hoc analysis and special papers to be presented at Treasury committees

Role Requirements

Proven experience of developing the strategy, execution and reporting of IRBB and structural hedging within a Bank Clear understanding of a banks liability business with an ability to risk assess the product set to determine which products qualify for structural hedging and to source appropriate data to behaviourally model the underlying products. Data savvy skills with ability to build simple models and a high attention to detail to document appropriately Ability to build relationships and credibility with a wide range of stakeholders

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