Beschreibung
For our banking client in Zurich, we are looking for a Risk manager or Business analyst with IRRBB, QRM and BCBS 368 expertise.
Start: ASAP
Location: Zurich
Duration: till end of year is the initial contract
In this project you will work on a project to ensure regulatory compliance with regards to QRM, IRRBB and BCBS 368.
You will join a highly motivated team comprising representatives from Finance, MLRM global and modelling.
You will work on the hands-on configuration of QRM and support the delivery of FINMA regulatory commitment due December 2017.
Responsibilities:
* Understanding the requirements of the modellers, the target state modelling approach and the speed/accuracy trade-offs entailed by the repository management
* Positing an approach to product aggregation that provides an optimal trade-off in terms of speed/accuracy
* Negotiating a compromise between stakeholder preferences and what is pragmatically deliverable by the QRM platform
* Describing the agreed stratification approach in a comprehensive clear specification that can be used by implementers
* Products and accounts definition
* Modelling definition - set up of modelling assumption
* Scenarios and strategies definition - set up of stressed scenarios and planning trees/strategies
* Dry run - set up of full Balance Sheet, validation of position data, validation of baseline NII, validation of NII at Risk. Reports definition - set up of reports/data output as required by reporting work stream
* Go-live support
Skills and experience needed for this project:
* Specialist knowledge of IRRBB and QRM platform
* Previous experience in QRM implementation/configuration
* Knowledge of core banking book products (loans, deposits and hedging instruments, etc.)
* Knowledge of behavioural modelling (in particular for NMP deposits)
* Knowledge of ALM, replication and FTP concepts
* (Basic) knowledge of accounting, familiarity with market data and products valuation
* Understanding and management of inputs/requirements from other departments
* Fluency in English
Does this sound like something for you?
Feel free to give us a call to discuss.
Looking forward hearing from you!
Michael Bailey International is acting as an Employment Business in relation to this vacancy.