IRRBB Analyst - Group Treasury - Banking

Our client, a Global Bank, is looking for an experienced Analyst with specific Interest Rate Risk Banking Book (IRRBB) expertise to work on a long term project within its Group Treasury business.

The role will play a key part in the successful delivery of the measurement and management of the IRRBB to enable compliance with new regulatory requirements. The role will involve enhancing the models across the IRRBB space and implementing BCBS requirements, as well as working with change delivery teams looking at numbers and challenging where necessary across customer lending and the internal portfolio (as opposed to banking book).

Candidates will require:

• Strong background working within an Interest Rate Risk Banking Book (IRRBB) business
• Previous experience with ALCM system implementation, ideally QRM, but would look at alternatives
• Good understanding of options valuations
• Strong analytical skills with ability to present and explain results to senior management
• Strong financial modelling experience with ability to model and understand outcomes and interpret results
• Strong understanding of Balance Sheet Management (BSM)