One of the UK's leading banks has an excellent opportunity for an Interest Rate Modelling Manager. The sits within the Treasury ALM team, Group Treasury

The job holder will be responsible for working with business units (retail, commercial, global markets etc) to build and run models capable of analysing business performance under different economic environments.

The role is highly analytical, requiring the job holder to work with the business to understand business drivers and be able to model those drivers in a complex and dynamic environment.

The role will require influencing skill, as the output from the analysis will be used to drive business behaviour, including hedging strategies, product offerings and funding plans.

Responsibilities

Business models built in ALM software (Bancware Convergence 5) to analyse profit and loss behaviour under different economic scenarios.

Working with business leaders to develop assumptions to analyse how economic value reacts in stress tests and in specific scenarios and to build these assumptions into the model

Working closely with the business to validate the inputs and results of the models to ensure full business by in of the results of the stress and scenario testing

Perform monte carlo simulation on business models to deliver the Group’s interest rate exposure for ICAAP under Basel II

Produce ad hoc analysis of exposures and vulnerabilities in the business models using Bancware software

Support the Group’s delivery of regulatory requirements, specifically CP08/22 and 24, Liquidity and integrated Stress Testing

The Individual

Good knowledge of retail and wholesale banking products preferably in a Group Treasury environment

Accomplished financial modelling skills

Excellent financial analysis skills

Excellent influencing skills

Building Asset and Liability models in simulation packages (preferably Bancware Convergence 5) would be desirable but not required as full training will be available.

Good understanding of the structure and risks inherent in banking products, deals, corporate structure and overall make-up of bank balance sheets

High level of understanding of the risk drivers within a Group balance sheet

High level of financial modelling and IT literacy

Experience in a asset and liability management/ stress testing environment would be an advantage

Treasury, Treasury, Treasury