My client, one of the leading Banking Groups in the UK with an outstanding reputation and track record is seeking to augment its ALM function outside of the M25. ALM Risk Managers and Senior Quantitative Analysts are sought for expansion of core divisions which have been driven by expansion and external regulatory requirements.
Ideally with a good understanding of Retail Banking products (from a product management, new product development or ALM background) and/or an ALM systems build or management background (ie Bancware Sungard Convergence or QRM). You should be experienced in the the following :
• Proficient with the range of market instruments for hedging and be able to construct hedges using variety of instruments to remove risk.
• Ability to price (from first principles) interest rate swaps, caps, floors, and swaptions. Full understanding of factors affecting option prices.
• Expert understanding of pipeline risk, prepayment risk, option adjusted spread methodologies.
• Strong understanding of NII simulation, Market Value, Earnings at Risk, Value at Risk and the application of stochastic processes, including Monte Carlo analysis of interest rates and other indices.
• Experience of model development, validation and documentation
Principle accountabilities are:
Develop modelling capability in QRM for identification, quantification of market and liquidity risk. This involves identifying contractual terms and conditions for each product and then ensuring both the contractual and behavioural profiles are accurately modelled in QRM. Model design across all Banking Divisions must be robust, consistent and offer improved capability over current systems.
Build robust funding and liquidity models across Divisions, including the ability to undertake scenario analysis. You will also ensure all model development and testing is in accordance with Model Development and Testing Policy.
Strong track records of success and development derived in similar environments are expected in candidates. Package flexibility as well as contract arrangements (permanent or interim) are on offer dependent upon background, experience and suitability.
