QRM experts in Treasury Risk Control

Vor Ort
3 months+
flag_no Schweiz

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QRM experts in Treasury Risk Control

Project description:
To succeed in the new industry environment, our client must tightly control and efficiently utilize scarce resources, including balance sheet, RWA, liquidity, funding, cash and collateral. The Group ALCO acknowledged this by approving a new Treasury operating model in June 2012. To extract the full benefit of the model, the Treasury Big Rock programme will strengthen oversight of the Banking Book, the funding portfolio and the unencumbered asset pool.

Task & Responsibilities:
- Help Setting up/be responsible for setting up configuration settings in QRM such as Yield Curves, Moving Averages, Client Rate Functions and WM R&C Products, Configuration of Replication Portfolios, etc.
- Unit-test the settings as per above
- Provide first-hand advice (QRM specific) on how to best enter the required settings in QRM

Key objectives for the first phase of the project where support is sought includes the implementation and configuration of a vendor software from QRM (Quantitative Risk Management);

Key deliverables of the project include
- Risk Control of the Banking Book: Group-wide balance sheet simulation of sensitivity to changing market conditions, incl. Net Interest Income (NII), Net Interest Margin (NIM), Economic Value of Equity (EVE), Economic Value Sensitivity (EVS). [End 2013]
- Strategic solution for the SNB Interest Rate Risk reporting in the Banking Book. [End 2013 & Q2 2014]

Required Experience/Skills:

Must have:
- Extensive experience in QRM implementation projects (preferably on Version 16; track record required) - Experienced in programming (eg VBA), be capable in abstract thinking,
- Background in Risk Management and/or Asset and Liability Management in large banks,
- Used to work in a concentrated manner
- Good English language skills.
- Project start: Mid November
- Availability: 100%
- Duration: 3 month (possible extension)
- Place of work: Zurich