Role Description
1. Fulfilling a central role in the development of risk management modelling capability;
2. Calculating and forecasting exposures against appetites for a variety of Treasury and Financial risks;
3. Modelling and forecasting Liquidity risk, including providing input into the ILAAP as required;
4. Developing and maintaining complex non-model DQMs (spreadsheets) owned by the ALM function to fulfil balance sheet management requirements including (for example) hedge accounting and product pricing;
5. Support and act as deputy for the ALM & Liquidity Controller/Head of ALM as required;
6. Providing cover to support monthly Assets and Liabilities Committee (‘ALCo’) pack production, and fortnightly Liquidity Management Group (‘LMG’) and Hedging Group (‘HG’) pack production;
7. Attendance at the monthly ALCo, and weekly LMG and HG meetings as and when appropriate, to involve presenting modelling outcomes and recommending risk management strategies;
8. Managing their own workload effectively, and those of the ALM Analyst(s) and/or Assistant Analyst, in accomplishing these tasks.
Role Requirements
9. Have previous experience of mathematical modelling and forecasting;
10. Have proven maths skills - the role holder will be expected to be highly numerate and analytical;
11. Have excellent computing skills including Excel and the ability to decipher and adjust unfamiliar coding (e.g. VBA, SPSS) as necessary;
12. Be able to communicate confidently and effectively with staff throughout the organisation up to and including Executive level;
13. Have the ability to interpret and present complex technical data, in a verbal or written manner, to various audiences. This will require the ability to explain technical information to a non-technical audience
14. Be able to use technical information to influence and persuade internal customers to take the most appropriate action;
15. Having an understanding of Treasury and ALM would be desirable.
16. Be willing to undertake further independent study to deepen their understanding of Treasury matters. Being accredited in or undertaking further professional qualifications (ACT/ACCA/CIMA/CertBALM) would be desirable.