IRRBB Modelling Manager
Bristol or Leeds
6 months contract
Day rate 450 via Umbrella Company
They are looking for an accomplished IRRBB Modelling Manager to work closely with the Senior Manager, IRRBB in delivering best in class modelling and reporting to a broad range of stakeholders. This is a highly visible role with exposure to senior colleagues across Group Corporate Treasury and Risk, in addition to the full customer balance sheet. The position is being offered on a 6 month contract with the potential to extend. You will be working Monday to Friday, 9am to 5pm, hybrid working being office based at one of the above locations a minimum of 2 days a week.
Key accountabilities
* Build and maintain QRM models for Net Interest Income (NII), and Market Value (MV) calculations
* Establish and build effective relationships with Risk and Finance stakeholders to support the delivery of business assumptions into QRM and supporting stress testing.
* Lead change and testing efforts for QRM model enhancements, including UAT planning and execution
* Producing and completing test output governance, including documentation.
* Collaborate with Treasury, Risk, and Finance stakeholders to gather requirements and deliver model improvements.
* Ensure models align with regulatory expectations (e.g., ICAAP, SOTs, stress testing) and internal governance standards.
* Manage and minimise operational risks via robust control frameworks underpinning processes
* Continuously strive for process improvements to enable time for value adding activity and qualitative review
* Support agreed change initiatives to deliver agreed objectives of IRRBB team
* Support simplification of the ALM model and continued development of model assumptions, including the development of dynamic modelling and back testing.
Key skills
* Experience in the financial sector and product knowledge eg mortgages, savings, credit cards.
* Ability to debate and influence with senior stakeholders
* Effective communication style to confidently explain technical topics both verbally and in business commentaries
* High level of intellectual capacity driving an ability to grasp new techniques quickly
* Positive attitude with enthusiasm to contribute to an engaged team culture
* Self awareness and ability to drive own development
* Awareness of key Market Risk management techniques including: Net Interest Income Sensitivities, Market Value, Basis Risk, Stress Testing
* Good understanding of Excel functionality and capabilities to proactively review, challenge and streamline existing models or build new modelling capability
* Strong understanding and use of ALM software tools, ideally knowledge and use of QRM, to manage market risk
* Proactively demonstrates the Groups Values and Behaviours
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