Our client is an international bank offering Private Banking, Structured Property Finance, Trade Finance and Treasury services.
Acting in a second line of defence capacity, undertake regular reporting and monitoring of the Bank’s risk exposures in line with policy against predefined risk appetite metrics and limits, the individual will identify any breaches and/or emerging risks in the Bank’s balance sheet relating to liquidity, capital, FX or interest rate positions
Enhancing and periodically preparing reports and dashboards that allow management to form a view of potential issues, or indeed opportunities that might arise from a current and forecasted position
Take responsibility for the creation of an appropriate menu of severe but plausible stress scenarios on liquidity and capital, taking account of the Bank’s business model, as well as the markets in which it operates, utilising relevant members of the Bank’s staff to assist
Prepare suitable reports that compares the Bank’s prudential position on a stressed basis against the actual position
Undertake monthly and/or quarterly stress testing on both capital and liquidity, considering scenarios, assessment of impact, management actions, and resultant capital and liquidity position
Assist the Chief Risk Officer, Head of Credit Risk and Prudential Risk Officer in the production of the ICAAP, ILAAP and other Prudential reports as required with a particular focus on the production of underlying financial data, and the stress testing impacts of these.
Ensure that an appropriate suite of reports is created to allow management to govern the Bank’s liquidity and capital positions with respect to the regulatory limits, the risk appetite statement and the metrics prepared in the Prudential reports.
Devise suitable Early Warning Indicators to allow sufficient lead time, across a number of market risk fields, such that management are alive to threats to the prudential position; these should be presented in the Bank’s Recovery Plan
Maintain up to date knowledge of to the Prudential rules that stem from the Bank of England and the PRA, and assist in their interpretation and application to the Bank communicating these to ExCo via the CRO
Be the Risk Team’s lead on improvements to the Bank’s systems for monitoring and reporting the market, liquidity and capital risks through greater automation working closely with Finance, Treasury and IT departments to enhance the timely monitoring and reporting of LCR and NSFR in particular.
Assisting in the preparation on the monthly ALCO reports and the quarterly Board Reports in relation to liquidity and market risk matters
Ensure the stress testing models and liquidity risk metrics are appropriately documented and validated, and that there are procedures in place to ensure the relevant processes are documented.
Ensure modelled outcomes are monitored to assist the future refinement and recalibration of the Model as considered appropriate.
Sound knowledge and understanding of the UK Prudential Regulatory regime particularly with regard to liquidity and market risk
Excellent excel and modelling skills together with problem identification and solving skills
A strong understanding of the Banks’ financials including Balance Sheet, P&L, cashflow and ratio evaluation and interpretation.
Robust understanding of bank IT systems, management information and reporting systems
Risk control experience, largely predicated on market risk parameters.
Ability to communicate clearly and effectively, both verbally and in writing, to a range of counterparties including senior management.
For further information please contact Ellen Lamer