Banking Market Risk (Associate/AVP Level)

7th March 2019
London, United Kingdom
Job Type


We’re seeking to hire a highly motivated subject matter expert in Interest Rate Risk in the Banking Book to join an established Asset & Liability Management function, part of a Universal Bank.

Your initial responsibilities will cover, just to name a few:

  • Developing and revising behavioural assumptions used within QRM and validation of risk metrics outputs
  • Developing risk metrics: their definition, modelling, calibration and limit setting
  • Performing stress testing on IRRBB on EVE metrics
  • Defining and modelling of ad hoc interest rate stress scenarios in QRM (parallel and non‐parallel)

The key skills you’ll develop:

  • Ability to develop and maintain the interest rate risk balance sheet models of the bank
  • Applying subject matter expertise across comprehensive product sets
  • Stakeholder management with various business lines, Risk and Treasury

Experience we’re looking for:

  • At least 4 years’ experience in Interest Rate Risk in the Banking Book, ALM or similar role
  • A quantitative educational background (Finance/ Engineering/ Maths/ Economics)
  • Advanced IT abilities: SAS, SQL, Excel (VBA, formulas…)

For more information please contact

Apply online
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