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Overall Job Purpose
job holder will be accountable for aspects of the design, build and test of the QRM balance sheet management system. The objectives of the QRM programme in the current phase is to deliver:
- Interest Rate Risk within the Banking Book (including Structural Risk and Basis Risk).
- Internal and external reporting for Interest Rate Risk in the Banking Book.
- Model coverage for the entire Banking Book incorporating all relevant legal entities, clusters and businesses including Treasury.
Specifically the incumbent will be involved in the following areas of work:
Ensuring that existing QRM design documents meet current requirements and propose changes where needed. Ensure that QRM is configured correctly so that a single consolidated model will deliver to business requirements.
Ensure that Design proposals are of a high quality which will enable them to be presented to the relevant project forums, and to be able to be presented to the Executive Steering Committee when required.
Build out in QRM using the existing technical documentation so that Phase 1build meets the planned delivery of Interest Rate Risk in the Banking Book.
Model test the QRM build using sample data and full file data. Analyse output and compare against existing files, reports and other validation models. A significant element of this work will be to understand and explain the reasons for variances between QRM and the comparison reports.
- Significant progressive experience working within a BSM/ALM function or with BSM/ALM systems in a Tier 1 commercial, retail, or investment bank.
- Extensive experience utilising QRM model for Interest Rate Risk.
- Knowledge of ALM/FTP best practices.
- Ability to work as part of a team and add value to the design, build and test phase using QRM experience.
- Strong working knowledge of Microsoft Office applications; strong Excel user.
- Excellent numeric ability.
- Degree or professional qualification e.g. ACA, CFA, MBA, MCT
- Experience in prior QRM implementations.
- Flexible approach to work, able to play key role within a small, high calibre function.
- Works effectively in a high pressure/variable working environment.
- Communicates technical concepts to senior personnel in a succinct manner.
- Self starting, able to flush out issues and communicate these confidently.
- Strong organisational qualities.