QRM Experts in Treasury Risk Control

Vertragsart:
Vor Ort
Start:
Mid November 2012
Dauer:
3 months +
Von:
ITech Consult
Ort:
CH
Eingestellt:
08.11.2012
Land:
flag_no Schweiz
Projekt-ID:
444760

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Reference Nr.: 8864TG

Industry: Finance

Place of work: Zurich

Start: Mid November 2012

Duration: 3 months +

Introduction:
For one of our clients in the financial industry we are looking for two experienced QRM experts in Treasury Risk Control.

To extract the full benefit of a new Treasury operating model, our client's Treasury programme will strengthen oversight of the Banking Book, the funding portfolio and the unencumbered asset pool.

Role:

Responsibilities:
Help Setting up/be responsible for setting up configuration settings in QRM such as Yield Curves, Moving Averages, Client Rate Functions and Wealth Management 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

Deliverables:
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

1) 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]
2) Strategic solution for the SNB Interest Rate Risk reporting in the Banking Book. [End 2013 & Q2 2014]

Requirements:
- 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

Language: English fluently