Irrbb Risk Manager

IRRBB RISK MANAGER

On behalf of our client, a leading global bank, we are looking for an English speaking IRRBB RISK MANAGER to join the bank's IRRBB project team comprising representatives from Finance, MLRM global and divisional and modelling.

The candidate will be responsible to contribute to the IRRBB project that needs to ensure regulatory compliance. The candidates' responsibility will be developing and implementing structural interest rate risk analytics that measure, monitor and report interest risks, earnings and other risk metrics for the bank assets and liabilities.

For this contract position based in Zürich, Switzerland, our client is looking for a candidate who can start as soon as possible.

Your main responsibilities will be:

- PRODUCTS DEFINITION
- ACCOUNTS DEFINITION
- MODELLING DEFINITION - set up of modelling assumptions
- MARKET DATA DEFINITION
- SCENARIOS AND STRATEGIES DEFINITION - set up of stressed scenarios and planning trees/strategies
- DRY RUN - set up of full Balance Sheet, validation of position data, validation of baseline NII, validation of NII at Risk
- REPORTS DEFINITION - set up of reports/data output as required by reporting workstream
- GO-LIVE SUPPORT

You must possess:

- Previous experience in QRM implementation/configuration
- Knowledge of core banking book products (loans, deposits and hedging instruments) and behavioural modelling, IRRBB requirements and earnings at Risk
- Knowledge of ALM, replication and FTP concepts
- knowledge of accounting, familiarity with market data and products valuation
- Understanding and management of inputs/requirements from other departments

Are you interested in this opportunity? In case of any questions please contact Priscilla Berclaz Poh.

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