Risk & Liquidity SME - Regulatory - Banking - Contract - Zurich

RISK MANAGEMENT SME (LIQUIDITY, TREASURY, REGULATION, BCBS 368)

BANKING RISK MANAGEMENT SME JOB IN ZURICH, CONTRACT

CONTRACT

CHF 800 - 900 PER DAY

My client is a large bank located here in Zurich, and are in need of an SME in Risk Management within Liquidity and Finance to support the delivery of FINMA regulatory requirements due in December 2018.

As an SME in Risk Management you will be responsible to contribute to the IRRBB (Interest Rate Risk in the Banking Book) project that needs to ensure regulatory compliance. You will develop and implement structural interest rate risk analytics that measure, monitor, and report interest risks, earnings and other risk metrics based on the bank Assets and Liability positions.

The regulatory context of the program as as follows:

- Final IRRBB regulation published in Apr 2016 (BCBS 368)
- BCBS 368 regulation compliance is required from Jan 2018. It raises regulatory standards onIRRBB across multiple dimensions:
- Risk appetite and limit framework for IRRBB should be articulated in terms of the risk to both economic value and earnings
- Enhanced disclosure requirements; more detailed and including those on modelling assumptions
- Dynamic balance sheet view on NII with 3 year horizon
- Measured against additional scenarios and currencies
- Behavioural and modelling assumptions should be rigorously tested and aligned with business strategies

FINMA required Go Live in May 2019 and release SNB Test report for 2018

In order to be a suitable candidate for the position you should have the following experience:

- Substantial Risk Management experience, ideally in the areas of ALM, NMP, NIBAL positioning
- Strong knowledge of core banking products such as loans, deposits, and heading instruments
- Good general knowledge of Accounting and familiarity with market data and products valuation

If you would like to apply for the position please send your CV to (see below) or apply via the link.