ALM Risk Manager AVP – Glasgow
- Jan 21, 2021
Global investment bank seeks an AVP level ALM Risk Manager in their expanding Glasgow office. They are open in backgrounds from Risk or Finance.
Overall purpose of role
The purpose of Asset Liability Management (ALM) Risk team is to support the banking book businesses in maintaining stable income from their balance sheet holdings. The income produced by these businesses may vary as market interest rates, FX rates, business strategy and the regulatory environment evolves.
The role holder will support the analysis and management of non traded market risk (NTMR) within the banking book businesses. The role will be responsible for certain operational aspects of the NTMR function: such as conformance with the Group Risk Policies; conformance with the market risk limits; and operate the procedures to adhere to agreed market risk appetite.
- Supporting the Identification, measurement and management of Interest rate risk in the Banking Book (IRRBB), FX risk and other market risks within the banking book.
- Producing regular and adhoc MI/analysis related to IRRBB, FX and other market risks. This will include Annual Earnings at Risk (AEaR) and other risk metric forecasting under different scenarios.
- Reviewing and challenging new products from ALM risk perspective and work closely with Business, Finance and Treasury to ensure that the risks are hedged or managed appropriately.
- Support the review and challenge of Product and Structural hedging strategies proposed by Treasury.
- Have a detailed understanding of the ALM risk management model and ensure that all products are accurately modelled and risk metric results are accurate.
- Support the review and challenge of the behavioural assumptions used for hedging interest rate risk within the banking book.
- Review and challenge regulatory reporting related to IRRBB, FX and other market risks.
- Ensuring compliance with Group Market Risk policies and standards in compliance with the Group ERMF.
Essential Skills/Basic Qualifications:
- Educated to Degree level in a quantitative subject or previous relevant equivalent experience
- Knowledge of VaR, EaR, EVE and other risk management tools and practices
- Familiarity with FX Markets
- Understanding of governance and control frameworks
- Understand of NTMR specific regulations (i.e. Basel, PRA and EBA guidelines on IRRBB)
- Prior experience using QRM
- Understanding of Treasury ALM management
- Advance excel skills
Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative.
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