Treasury Market Risk Manager

Location United Kingdom
Contact name: Lewys Jones

Contact email: lewys.jones@greshamhunt.com
Job ref: 1002

Responsibilities of the individual:

  • Responsible for the management and facilitation of requirements between ALM and front office.
  • Identifying and implementing improvements to the risk management framework.
  • Reviewing the current risk portfolios and improving risk methodologies.
  • Preparation of market risk proposals for senior members of the business.

Requirements of the individual.

  • Deep understanding of Asset Liability Management, inclusive of Capital framework and IRRBB
  • Knowledge of economic value of equity and EBA / PRA guidelines.
  • Experience of managing structural FX Risk and associated regulatory framework.
  • Product knowledge across Interest Rate derivatives, FX derivatives, Bonds, money markets instruments like loans, deposits and repo.
  • Risk metrics knowledge across PV01, credit spread sensitivity, Inflation sensitivity, Value at Risk, basis risk, XVA adjustments. Interpretation and calculation.
  • Willing to be based in London