Risk Modeller/Analyst (Non-traded Market Risk/ALM) - Banking

Risk Modeller/Analyst (Non-traded Market Risk/ALM) - Banking

  • Location

    City of London, London

  • Sector:

    Risk & Compliance

  • Job type:


  • Salary:

    £80000 - £95000 per annum + bonus + benefits

  • Contact:

    Nicola Henderson

  • Contact email:


  • Job ref:


  • Published:

    over 5 years ago

  • Expiry date:


  • Startdate:

    4-6 Weeks

  • Consultant:


Risk Modeller/Analyst (Non-traded Market Risk/ALM) - Banking

My client, a leading City based bank is looking for a Risk modeller/analyst to run, maintain and further develop the existing Interest Rate Risk Banking Book models. The successful applicant will drive and own the design, implementation, improvements and processes for monitoring and managing non traded market risk, which will also involve developing new models for Credit Spread Risk and FX Risk. They will develop the capacity for longer term forecasting of non-traded market risk exposure, extend the current IRRBB model and manage its impact on the groups balance sheet, capital and liquidity management. Candidates will need to develop new models for complex risk management issues such as behavioural finance modelling and embedded option risk modelling, with the ability to manage the delivery of these into the ALM and market risk software where appropriate.

Experience required:

  • Experience working within ALM or Market Risk function
  • Valuation and risk management for derivative instruments
  • Trading book market risk techniques
  • Risk concepts such as Earning at Risk, Economic Value of Equity, Stress Testing, Scenario Analysis and Daily Value at Risk
  • Interest Rate Risk, Credit Spread Risk and FX Risk
  • Historical VaR models, EaR models (static & dynamic)
  • Ability to develop and implement financial models with an emphasis on behavioural finance