IRRBB Risk Analyst

IRRBB Risk Analyst

The dedicated IRRBB team is responsible for:

• Maintaining the MLRM environment and IT risk tools in line with regulations and responding to requests from the Regulator related to interest rate risk, the new benchmark rate reform regulation (IBOR transition) and the IRRBB scope;
• Producing & Automating regulatory and internal risk reports;
• Monitoring the risk indicators related to interest rate risk of the Group (EVE, NII…) ;
• Developing and running stress test scenario

As IRRBB expert you will:

• Produce and analyse the IRRBB indicators;
• Participate to the implementation of the net interest income stress test;
• Maintain the risk management tool (RCO ALM) configuration and upgrades with respect to new regulatory requirements, new models implementation and data mapping.
• Handle hot topics such as regulatory requirements or specific demands from the management related to the IRRBB.
• Actively participate to the current migration of core banking system and the maintenance of databases related to IRRBB and market data;
• Put in place regular controls to ensure consistency between risk reports and the Finrep;
• Ensure the documentation of the department processes and procedures;

Requirement:

• A minimum of 3-year experience in the Financial Risk Management or Asset and Liability Management department
• Familiar with IT tools for interest rate risk management or ALM. Knowledge of RCO ALM and Moody's tools will be considered a plus
• Good knowledge of the IRRBB regulation (BCBS and EBA's texts/directives);
• Good understanding of a universal bank balance-sheet structure;
• Strong knowledge of interest rate mechanisms and interest rate products;
• Knowledge in computing and analysing IRRBB metrics or banking book monitoring;
• Ability to handle multiple tasks and prioritize accordingly;