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Head of ALM and ILAAP - Finance - London, United Kingdom

Head of ALM and ILAAP - Finance - London, United Kingdom

Posted 25 April by eFinancialCareers
Ended
Competitive salary
London , South East England
Permanent, full-time
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Description of the Business Line or Department

The Finance Division (DFIN) is in charge of:

- Steering the financial and budgetary strategy of the Group, and its investment and development policy;
- Measuring and analysing the profitability of the activities portfolio (clients, businesses, geographies) and the use of all resources (overheads, balance sheet, capital, liquidity, etc.);
- Certifying Group accounts (accounting quality, valuation methods, orders options, etc., regardless of the production centres, vis-à-vis DFIN, external auditors, regulators, etc.;
- Ensuring the necessary support and the right level of expertise on the subjects of accounting standards, audit

The team sits within DFIN and is in charge for the GBIS UK entities of:

1- Treasury dealing:

• Short term cash management

• External unsecured funding

• Refinancing of internal business lines and SG group subsidiaries. Pricing of internal curves

• Centralizing the excess cash optimization through the FX swap market for the SG Group

• Management and steering of liquidity requirements (regulatory or internal)

• Management of HQLA liquidity buffer

• Management of intraday liquidity

• Management of the market risks associated to the activity.

• Ensure the SG access to the Sterling Monetary Framework and regular dialog with the Sterling Division of the Bank of England

• Hedge of the structural risks

• Act as a back up to Paris Treasury for management of EUR and USD and for Euribor contribution

2- ALM and Balance sheet management

• Owner of the ILAAP

• Management of structural risks

• Organize the ALCOs

• Owner of stress testing framework and oversight of liquidity stress test models

• Owner of FTP/CTP

• Capital management

3- Recovery and Resolution Plan

• Maintain Recovery Plan

• Maintain Resolution pack

4- Capital Stress testing.

• Design and produce capital stress testing

• DFIN SPOC for Capital Adequacy Statement

This role reports to the UK Head of Treasury ALM

Summary of the key purposes of the role

The key goals of the Head of Balance sheet risks management is to:

Ensure LOD1 function for structural risk management of GBIS UK entities

Coordinate the ALCOs organization

Oversight on liquidity modelling under the Business as Usual and stressed scenarios applying to the various UK GBIS entities

Coordinate the ILAAP production and be the SPOC (Single Point of Contact) for DFIN and with other stakeholders in other departments for the ILAAP

Managing people working for these functions. Set objectives and make appraisal.

Work in close relationship with UK CLO and act as a backup when necessary

Summary of responsibilities

The responsibilities of the Head of Balance sheet risks management:

• Oversee and organize the ILAAP process with the goal of fulfilling regulatory expectations within imposed dead lines.

• Maintain the Liquidity Recovery Plan document and organize the dry run at least every year.

• Ensure the annual review of all the policies related to liquidity owned by the department.

• Prepare when relevant interactions with regulators, supervisors, Exco and Boards.

• Oversee the daily/monthly reporting of the structural risks and liquidity risk of the balance sheet, analyse and explain the ALM indicators (NPV, IRRBB, NIM, GAP...);

• Monitor the ALM indicators versus granted limits and propose adequate actions to prevent any limit breached to ensure compliant with the ALM management framework;

• Maintain liquidity stress testing framework and oversee models for liquidity stress tests

• Review ALM models and indicators limits in annual basis and validation with Head-office;

• Be in charge of FTP/CTP methodology definition and calibration to adapt to commercial strategy and in synch with SG Group principles, and participate the pricing committees;

• Monitor and analyse funding needs and treasury position, anticipate liquidity capacity by participating to analysis of new investment product and new business models and by realizing simulations.

• Ensure secretariat for GBIS UK ALCOs;

• Participate to project work as required for the contribution to SG Group projects or UK centric projects

perform the liquidity planning and stress testing of UK GBIS entities, meaning :

o Project under base case and adverse scenario, the entity liquidity resources and requirement based on the financial and balance sheet projections.

o Identify macro variables that are relevant to the entity liquidity modelling.

o Oversight of liquidity stress testing scenarii,

o Calibrate the liquidity required to face these scenarios

o Execute the production of, and support the ongoing development of, the liquidity plan and stress testing deliverables in compliance of CRR regime regulatory requirements.

o Coordinate with other ILAAP stakeholders, being the SPOC (Single Point of Contact) for the ILAAP in DFIN/UK and maintain relationship with other departments and risk

• Support the team in charge of the daily liquidity management in order to better anticipate the impact of the models for the different liquidity metrics.

• Provide Management and business partners with ad-hoc liquidity analysis and forecasts;

Profile required

Competencies

- Knowledge of statistical and mathematical modelling approaches

- Knowledge of balance sheet management ;

- Knowledge of Treasury (structure, functions, profit planning and growth) and financial product and hedging;

- Knowledge of Funding and Capital management;

- Knowledge of interest rate risk and liquidity risk management ;

- Sound numerical ability skills;

- Analytical skills;

- Programming especially in VBA , R and Python

- Excellent communication, interpersonal, and structured thinking skills, with an ability to operate with minimal oversight.

- Good knowledge of the ILAAP process under CRR regulation in the UK

Why join us

People join for the impact they can have on us. They stay for the impact we have on them. A flatter structure offers visibility and exposure beyond that of our competitors, so you know our names, and we know yours. It's personable, human, and inspires success through passion. By encouragin

Reference: 52537701

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