Treasury Analyst ALM - Hiring ASAP

Start Date: ASAP
Duration: 6 months initially
Location: London Office: 3 days per week // Remote from home: 2 days per week
Rate: £630 per day
Engagement Method: Inside

Key Skills

• Experience in IRRBB experience and ALM
• Experience of building and modelling and IRRBB metrics
• Very strong Excel skills and analytical skills
• Treasury Management Systems experience

Responsibilities

• Develop a IRRBB measurement approach to include EVE, NII sensitivity, PRA prescribed scenarios, Supervisory outlier test and other key IRRBB metrics.
• Build behavioural assumptions to better understand risk profile, including but not limited to deposit behaviour, embedded optionality and pipeline risk.
• Design hedging strategies by product and portfolio to minimise IRRBB and optimise the balance sheet.
• Design operational processes to build a sustainable IRRBB and ALM process.
• Design end-to-end process that captures and transfers all relevant risks.
• Interpret relevant regulatory changes and understand the impact on the business.