ALM Risk Manager


Duties and responsibilities

  • Act as a market risk expert, in particular for IRRBB and CRBB
  • Lead the ongoing development of a clear framework in particular methodologies and policies to identify, monitor and quantify IRRBB on the bank’s balance sheet
  • Support the development of market risk related statistical models including model design, calibration and validation; stress testing; backtesting; usage; reporting; and model governance          
  • Assess the impact of customer behaviour on the bank’s interest rate risk position under different market scenarios using large datasets
  • Support and provide market risk insight into capital planning, funding plans and funds transfer pricing
  • Own the respective risk management policies relating to market risk and consolidate market risk reporting requirements, including additional sensitivity measures
  • Manage and maintain the risk models inventory
  • Maintain and execute risk model validation processes, including those related to credit risk models
  • Any additional duties which will be assigned by the Senior Financial Risk Manager 

Required knowledge, skills and experience

  • Relevant experience working in IRRBB and CRBB risk, Treasury and/or market risk
  • Very strong knowledge of IRRBB measures (EVE and NII)
  • Very strong understanding of behaviouralisation such as prepayment modelling
  • Strong understanding of balance sheet modelling and projections
  • Up to date with current market and economic trends
  • Quantitative problem-solving skills
  • Hands-on experience in programming Python or R and using SQL

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