QRM Experts in Treasury Risk Control

REFERENCE NR.: 8864TG

INDUSTRY: Finance

PLACE OF WORK: Zurich

START: Mid November 2012

DURATION: 3 months +

INTRODUCTION:
For one of our clients in the financial industry we are looking for two experienced QRM experts in Treasury Risk Control.

To extract the full benefit of a new Treasury operating model, our client's Treasury programme will strengthen oversight of the Banking Book, the funding portfolio and the unencumbered asset pool.

ROLE:

Responsibilities:
Help Setting up/be responsible for setting up configuration settings in QRM such as Yield Curves, Moving Averages, Client Rate Functions and Wealth Management Products, Configuration of Replication Portfolios, etc. 
Unit-test the settings as per above
Provide first-hand advice (QRM specific) on how to best enter the required settings in QRM

Deliverables:
Key objectives for the first phase of the project where support is sought includes the implementation and configuration of a vendor software from QRM (Quantitative Risk Management); Key deliverables of the project include

1) Risk Control of the Banking Book: Group-wide balance sheet simulation of sensitivity to changing market conditions, incl. Net Interest Income (NII), Net Interest Margin (NIM), Economic Value of Equity (EVE), Economic Value Sensitivity (EVS). [End 2013]
2) Strategic solution for the SNB Interest Rate Risk reporting in the Banking Book. [End 2013 track record required)
- Experienced in programming (eg VBA), be capable in abstract thinking,
- Background in Risk Management and/or Asset and Liability Management in large banks,
- Used to work in a concentrated manner

LANGUAGE: English fluently