A global bank are looking for a Market Risk Manager to develop and maintain their second line of defence across the treasury function.
Responsibilities of the individual:
- Responsible for the management and facilitation of requirements between ALM and front office.
- Identifying and implementing improvements to the risk management framework.
- Reviewing the current risk portfolios and improving risk methodologies.
- Preparation of market risk proposals for senior members of the business.
Requirements of the individual.
- Deep understanding of Asset Liability Management, inclusive of Capital framework and IRRBB
- Knowledge of economic value of equity and EBA / PRA guidelines.
- Experience of managing structural FX Risk and associated regulatory framework.
- Product knowledge across Interest Rate derivatives, FX derivatives, Bonds, money markets instruments like loans, deposits and repo.
- Risk metrics knowledge across PV01, credit spread sensitivity, Inflation sensitivity, Value at Risk, basis risk, XVA adjustments. Interpretation and calculation.
- Willing to be based in London