Interest Rate Risk (IRRBB) Senior Analyst Interest Rate Risk (IRRBB) Senior Analyst …

Empirical Search
in London, England, United Kingdom
Permanent, Full time
Last application, 17 Jan 20
Circa £70,000
Empirical Search
in London, England, United Kingdom
Permanent, Full time
Last application, 17 Jan 20
Circa £70,000
A role focused on Interest Rate Risk in the Banking Book (IRRBB) within the Asset Liability Management Risk team of a very successful domestic focused bank.

Role Description

You will work as part of a small team as a senior contributor across risk oversight of the banking book risks of Liquidity, Interest Rate and FX. This role will take a lead in the subject matter expertise of IRRBB, with ownership of embedding the Market Risk policy and accompanying standards on managing IRRBB, including working with the businesses to review business assumptions and key risk indicators.

Role Requirements

  • Strong understanding of a banks’ balance sheet, in particular of small medium enterprise corporate banking and consumer finance, with associated product knowledge (for e.g. optionality in non-tradable products) and associate risks – repricing, embedded options and basis risk.
  • Direct experience with Interest Rate Risk and an understanding from first principles (Pv01, EVE, EAR and VaR etc)
  • Strong modelling and analytical skills with a keen to desire to greatly enhance modelling skills
  • Advanced stakeholder management skills with proven ability in engaging and positively influencing
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