Interest Rate Risk Management - Data/Business Analyst

LONDON - DAY RATE £300-£500

BUSINESS/DATA ANALYST - INTEREST RATE RISK MANAGEMENT

The role is within the Asset, Liability and Capital Management Team (ALCM) and its purpose is the consolidation and enhancement of Interest Rate Risk data for CP Capital Stress Tests using outputs from the interest rate risk management tool Quantitative Risk Management (QRM) and current Transaction Data Mart (TDM).

Business Analyst must be able to undertake the following tasks to fullfill this role:

- Consolidation of all data sources fed into TDM and relevant outputs from QRM required for populating stress testing schema as per definitions supplied by PRA.
- Analysis, definition and documentation of functional requirements and rules to enrich data in order to meet PRA requirements and guidelines.
- Investigation of current gaps in the data infrastructure
- Conduct detailed survey of existing QRM data sources
- Ensure completeness of data for managing Interest Rate Risk eg capture of fixed rate deposit maturity dates, capture of repricing intervals and floating rate market index for swaps
- Examine alternative data sources eg for GALM and MBI
- Standardise data feeds for use in monthly reporting, capital stress testing data provision and offshoring
- Investigate appropriate QRM data feeds
- Establish SLAs for data delivery where appropriate - in terms of time and quality of feeds.
- Offshore all data processes up to the delivery to TDM with month on month variance explained.
- Compliance with best practices as set out in the ALM tool reporting manual and process documentation, and development and maintenance of this process documentation