IRRBB Specialist

2 weeks ago

London, Greater London, United Kingdom Sainsbury UK Full time
Location - Hybrid working with base location either London or Edinburgh (2 days per week office based)

In a nutshell

The Interest Rate Risk in the Banking Book (IRRBB) Specialist is responsible for monitoring and reporting of the Bank's Interest Rate risk metrics ensuring that the Bank operates within its risk appetite.

What you need to do
  • Take ownership for the consolidation and distribution of the ALCO (Asset-Liability Committee) management information for IRRBB;
  • Monthly reporting of interest rate risk (IRR) and Foreign Exchange (FX) risk metrics;
  • Provide accurate and ongoing monitoring of the Economic Value and Earnings at Risk Models to assess the impact on the Bank current and potential interest rate risk position;
  • Execute monthly Interest Rate Risk stress testing leveraging the Bank's Asset and Liability software engine (QRM);
  • Maintain up-to-date procedures of the regular activities;
  • Monitor market and regulatory developments;
  • Support ad-hoc requests for the team
  • Provide constructive feedback on the preparation of the Bank's MI's and implement improvements to the current process;
  • Support the IRRBB Manager with the day to day management of the Banks IRR and FX risk.
  • Support other aspects of the Balance Sheet Management team deliverables including Liquidity risk and Funds Transfer Pricing.
  • Work closely with Treasury Markets, Finance and various senior managers.
    What you need to know and show
    • Preferably a degree or masters in finance or mathematics
    • Strong communication skills,
    • Good attention to detail
    • Evidence of being highly analytical
    • Broad understanding of financial products such as derivatives, gilts and other financial instruments.
    • Some Treasury experience would be preferable.
      Please be aware that we do not provide sponsorship for skilled-worker visas for this position, and the vacancy may close ahead of schedule should we find an appropriate candidate.

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