The Market Risk Unit (MRU) is the second line of defence for the management of Interest Rate Risk in the Banking Book (IRRBB) including gap, tenor basis and cross currency basis risks, as well as FX risk, which are subject to daily limits. We measure and monitor also Credit Spread Risk in the Banking Book (CSRBB) and Pension risk. Among our responsibilities are the calculation of Pillar 2 capital charges for the above-mentioned risks.
As (Associate) Officer - Financial Risk, you will contribute to the identification, measurement, monitoring, coordination and reporting of the Interest Rate Risk and FX Risk exposures arising from the Bank’s lending, borrowing and treasury activities, in line with the Bank’s Asset and Liability Management (ALM) framework and best banking practices/regulations, thereby protecting the Bank against undue financial risks.
Reporting to the Head of Market Risk Unit, you will work closely with the risk measurement developers within the ALM & Market Risk Division, as well as the other Departments involved in financial and control matters, especially with the Finance Directorate (the Bank’s front office for Funding), the Directorate for Lending Operations (front office for lending), and Financial Control. You will also interact, where appropriate, with external consultants and both Internal and External Auditors. Accountabilities :
Monitor on a regular basis the risk positions within the remit of the Unit, i.e.: Interest Rate Gap and Basis risk positions, as well as FX risk
Produce relevant regular and ad hoc reports, including when required, opinions on matters impacting these reports such as non-observance of limits, data reconciliation issues with First Line of Defence or any specific ad-hoc request
Coordinate the data control process of the Division (collection, analysis, correction, and formatting) to ensure the production of risk reports based on clean, up-to-date, and reliable data
Contribute to the development and review of financial risk measurement systems, models, and tools in line with the latest banking regulations and best banking practices, by enhancing the current market risk reporting system and by introducing further indicators/reports if and when needed. In particular, and together with the Quantitative Model Implementation Unit of the Division, continuously enhance the set-up of market risk monitoring in the Bank’s financial risk platform, namely CompatibL
Participate in the integration and testing for the integration and representation of new products into the financial risk system(s)
Document ALM and Financial Risk policies and keep them up-to-date with market best practice
Contribute to the maintenance and update of the Financial Risk and ALM Guidelines as well as other related procedures and documented methodologies (such as the IRRBB handbook)
Ensure compliance with approved procedures and policies
Prepare draft opinions on transactions/transaction proposals with embedded financial risks
Ensure a back-up of reporting tasks across the Unit
Qualifications:
University degree (minimum an equivalent to a Bachelor), preferably in Economics, Finance, Mathematics, or another quantitative subject. Post-graduate studies in these areas would be an advantage
At least 3 years of relevant professional experience related to Financial Risk Management activities (eg ALM, Capital Markets, Treasury and/or Market Risk)
Familiarity with relevant quantitative and modelling tools (e.g. for fixed vs. floating rate products, swaps, BPV & duration calculations, sensitivities etc.)
Knowledge of banking regulations and best banking practices, with a focus on Interest Rate Risk in the Banking Book (IRRBB)
Prior experience in implementing models and methodologies supporting the monitoring and the management of market risks in banking books would be asset
Good communication and interpersonal skills
Understanding of IFRS/IAS accounting principles would be an advantage
Proficient knowledge and experience in using Excel and VBA. Basic programming skills (e.g C# or Python) would be an advantage
Excellent knowledge of English and/or French (*), with a good command of the other. Knowledge of other EU languages would be an advantage.
