QRM (Quantitative Risk Management) Subject Matter Expert

SME (subject matter expert) required to customise, configure and implement QRM Version 16 for this international bank. You will be responsible for ensuring this Risk Management product is available for use within the Treasury management section.

TASK & RESPONSIBILITIES:

- Help Setting up/be responsible for setting up configuration settings in QRM such as Yield Curves, Moving Averages, Client Rate Functions and WM R&C 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:
- 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]
- Strategic solution for the SNB Interest Rate Risk reporting in the Banking Book. [End 2013 & Q2 2014]

MUST HAVE SKILLS:

- Extensive experience in customising, configuring and implementing QRM product (ideally Version 16)
- Experienced in programming (eg VBA), be capable in abstract thinking,
- Background in Risk Management and/or Asset and Liability Management in large banks,
- Ability to work fast and under pressure
- English language skills