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Subject Matter Expert - Quantitative Risk Models
Eingestellt von Harvey Nash IT Recruitment Switzerland
Gesuchte Skills: Client, Design
Projektbeschreibung
For our client in Zurich, a Swiss Bank, Harvey Nash is looking for a skilled ...
... "SUBJECT MATTER EXPERT - QUANTITATIVE RISK MODELS" (12 months project with the possibility to extend)
Overview of business area or project:
- Final IRRBB regulation published in Apr 2016 (BCBS 368)
- BCBS 368 regulation compliance is required from Jan 2018. It raises regulatory standards on IRRBB 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
- Behavioura 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
Project/Role Responsibilities:
SME requirement with specialist knowledge of IRRBB and QRM platform, to work on the hands on configuration of QRM and support the delivery of FINMA regulatory commitment due Dec 2018.
You will be responsible to contribute to the IRRBB project that needs to ensure regulatory compliance. And your responsibility will be developing and implementing structural interest rate risk analytics that measure, monitor and report interest risks, earnings and other risk metrics on the bank's assets and liability positions, interest risks, earnings and other risk metrics.
Key Responsibilities:
- NMP Positioning Design
- NMP & NIBAL Optimization/Positioning in QRM
- NII Planning in QRM
Essentials Skills and Qualifications:
- Previous experience in QRM implementation/configuration - in particular NMP and NIBAL positioning in QRM
- Knowledge of core banking book products (loans, deposits and hedging instruments) and behavioral modelling (in particular for NMP deposits), IRRBB requirements and Earnings-at Risk
- Knowledge of ALM, replication and FTP concepts
- (Basic) knowledge of accounting, familiarity with market data and products valuation
- Understanding and management of inputs/requirements from other departments
If you feel this role could be a good match for you, please apply directly or please contact Nadja for more information.
... "SUBJECT MATTER EXPERT - QUANTITATIVE RISK MODELS" (12 months project with the possibility to extend)
Overview of business area or project:
- Final IRRBB regulation published in Apr 2016 (BCBS 368)
- BCBS 368 regulation compliance is required from Jan 2018. It raises regulatory standards on IRRBB 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
- Behavioura 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
Project/Role Responsibilities:
SME requirement with specialist knowledge of IRRBB and QRM platform, to work on the hands on configuration of QRM and support the delivery of FINMA regulatory commitment due Dec 2018.
You will be responsible to contribute to the IRRBB project that needs to ensure regulatory compliance. And your responsibility will be developing and implementing structural interest rate risk analytics that measure, monitor and report interest risks, earnings and other risk metrics on the bank's assets and liability positions, interest risks, earnings and other risk metrics.
Key Responsibilities:
- NMP Positioning Design
- NMP & NIBAL Optimization/Positioning in QRM
- NII Planning in QRM
Essentials Skills and Qualifications:
- Previous experience in QRM implementation/configuration - in particular NMP and NIBAL positioning in QRM
- Knowledge of core banking book products (loans, deposits and hedging instruments) and behavioral modelling (in particular for NMP deposits), IRRBB requirements and Earnings-at Risk
- Knowledge of ALM, replication and FTP concepts
- (Basic) knowledge of accounting, familiarity with market data and products valuation
- Understanding and management of inputs/requirements from other departments
If you feel this role could be a good match for you, please apply directly or please contact Nadja for more information.
Projektdetails
Geforderte Qualifikationen
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Kategorie:
IT Entwicklung, Medien/Design