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Banking Book Market Risk Manager

  • Location: London
  • Salary: To £85,000 + bens + bonus
  • Job type: Permanent
  • Job reference: SS/167539
  • Sector: Banking, Banking
Job Description

Successful retail and commercial banking group seeks a banking book market risk professional to join the Treasury ALM team in London.

 

In this role you will be responsible for the assessment  of the bank's exposure to market risk (IRRBB).  Specific responsibilities include:

 

  • Work with front office on hedging strategy
  • Review/assessment of new products from a market risk perspective
  • Reporting of interest rate metrics (including EAR, basis risk, PV01)
  • Review and update of market risk policy and framework
  • IRRBB modelling (including VaR models for market risk and balance sheet models)
  • Present regular IRRBB management information to ALCO and other senior committees
  • Input into ILAAP and ICAAP (responsible for IRRBB sections)

 

The successful candidate will have experience within market and liquidity risk, with a good understanding of IRRBB. Exposure to model development, reporting and validation is preferred.  This is an excellent opportunity to take a highly visible role in a growing organisation.

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