Prudential Risk Modeller
Industry: Banking
Fully remote
£450 - £500 per day (Inside IR35)
Role overview:
Collaborating with key figures in Finance and other relevant departments to empower the Bank in accurately modeling its financial standing, both in the present and future, both tactically and strategically. This involves focusing on crucial areas such as financial forecasting and analysis pertaining to the bank's balance sheet, income, capital, interest rates, and liquidity risks.
THE ROLE:
Balance sheet and income forecasting:
Customer deposits, lending, bond portfolio, cash: balances, NII and fees
BAU forecast, scenarios and stresses
Interest Rate Risk in the banking book modelling (IRRBB):
Gap analysis, balance sheet NPVs and links with FSA017 regulatory reporting
Bond position modelling and bond mark to market
Repricing behaviour analysis
Lending pricing modelling
Liquidity risk modelling:
Deposit behaviour analysis
Liquidity scenarios
Links with LCR and NSFR
Capital forecasting and modelling:
Regulatory capital requirements: Pillar 1, Pillar 2a, Pillar 2b
Regulatory capital resource management
Support for ALCO, Pillar3, ICAAP, I...