Role Description
1. Management and development investment strategy for Treasury’s HQLA portfolios
2. Production of limit request papers, ensuring that accounting, capital and liquidity impacts are well understood amongst team and key stakeholders
3. Developing and executing stress testing for the various asset classes within the portfolio
4. Work closely with the Risk function to ensure risk appetite is correctly managed
5. Assisting with the production of the Bank’s ILAAP, ICAAP and RRP
6. Monitoring of portfolio performance and providing regular market updates and MI to senior management and stakeholders
7. Maintaining and developing relationships with external counterparties and brokers
8. Involvement with ad-hoc projects and contributing to the continued development of the Treasury Management System
Role Requirements
9. Professional qualification in a quantitative field or equivalent experience
10. Experience in credit modelling and analysis in UK and European Fixed Income markets, particularly in SSAs, Covered Bonds and ABS
11. Good understanding of macroeconomic drivers and their impact on market and credit risks
12. Experience of money markets and repo markets helpful
13. A problem solver with strong quantitative skills
14. The ability to explain complex topics to a broad audience
15. A keen interest in data and analysis (VBA, SQL or Python knowledge helpful)