Careers

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