Prudential Risk Modeller
Prudential Risk Modeller
Industry: Banking
Fully remote
£450 - £500 per day (Inside IR35)
Role overview:
Collaborating with key figures in Finance and other relevant departments to empower the Bank in accurately modeling its financial standing, both in the present and future, both tactically and strategically. This involves focusing on crucial areas such as financial forecasting and analysis pertaining to the bank's balance sheet, income, capital, interest rates, and liquidity risks.
THE ROLE:
Balance sheet and income forecasting:
- Customer deposits, lending, bond portfolio, cash: balances, NII and fees
- BAU forecast, scenarios and stresses
Interest Rate Risk in the banking book modelling (IRRBB):
- Gap analysis, balance sheet NPVs and links with FSA017 regulatory reporting
- Bond position modelling and bond mark to market
- Repricing behaviour analysis
- Lending pricing modelling
Liquidity risk modelling:
- Deposit behaviour analysis
- Liquidity scenarios
- Links with LCR and NSFR
Capital forecasting and modelling:
- Regulatory capital requirements: Pillar 1, Pillar 2a, Pillar 2b
- Regulatory capital resource management
- Support for ALCO, Pillar3, ICAAP, ILAAP, Recovery Plan including stress testing
- Support for other financial forecasting and modelling requirements
Email your CV or use the apply feature on this page. Email:
KEY SKILLS: Liquidity risk, Prudential Regulation, ALM, Capital management, IRRBB
Required skills
- ALM
- Prudential Regulation
- Liquidity risk
- IRRBB
- Capital management
Reference: 52508611
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