- Warsaw, Mazowieckie, Poland
- Permanent, Full time
- Standard Chartered Bank
Liquidity Risk Modeller
- Location: Warsaw, Mazowieckie, Poland
- Salary: Competitive
- Job Type: Full time
Liquidity Risk ModellerWho we are?
In the face of evolving regulations, rapid developments in balance sheet management platforms and demand for risk modelling services, Standard Chartered has established in Warsaw a global Treasury Modelling Hub. It provides advanced Assets and Liabilities Management solutions on - either built in-house or delivered by software vendors - risk assessment platforms. Our centre in Warsaw is dynamically evolving into a diverse working environment of business experts, programmers, data analysts and project managers. Local teams of subject matter experts in Liquidity and Interest Rate Risk assessment methodologies, change management specialists and rapid developers (Strats - Haskell programmers) work hand-in-hand to deliver state of the art Treasury risk forecasting and analysis solutions. The Warsaw team works also very closely with our centres in India, Singapore, Hong Kong and London to ensure effective embedment of new model designs and materialization of expected benefits for the whole group.
Those who join the Hub will become members of highly-specialized global network of expert teams, focusing on all strategic Standard Chartered markets in Asia, Africa and the Middle East and working on a variety of business initiatives across functions such as: Treasury Risk, Treasury Policy, Financial Markets, Treasury Markets and Liquidity Regulatory Reporting. This global collaboration aims to achieve balance sheet optimization through delivery of: centralized functional design and modelling solutions; robust FTP methodologies; effective analysis of internal stress tests and regulatory (i.e. PRA, HKMA, MAS) banking book risk ratios (i.e. LCR, CFMR, NSFR and IRRBB); and provision of quality analytical inputs to the bank's management team
The main objective of this role is to support management of an end-to-end Functional Design and Product Ownership of in-house built ALM Risk solutions. Successful candidate will be responsible for conceptualization, functional design, prototyping, solution validation, effective embedment and ongoing maintenance. The scope of work includes delivery of regulatory and internal risk reporting and forecasting solutions.
The successful candidate will work closely with Treasury Risk Managers, Liquidity Dealers, Technology and Program Managers to promote centralization and automation of standardized analytical solutions. He / She will also drive operational efficiencies, helping the business reduce reliance on time-consuming processes. The successful candidate will provide support across number of critical initiatives in Treasury Strats and Liquidity Risk Forecasting, as well as maintenance of existing models and tools managed by the Business.
- Execute rapid development of state of the art solutions enabling stress testing, scenario modelling and other specific regulatory requirements
- Develop and support prototypes and tactical models in excel, ensuring these are fit for purpose, considering data flows, calculation methodology, business process flows, user experience, analytics and performance, etc.
- Gather and document business requirement documents (BRD) and validate requirement traceability matrix to ensure that the proposed solution is in line with the BRD requirements
- Define and manage relevant data extracts as inputs to models, considering the balance between accuracy and model's performance
- Support the definition and execution of test cases for User Acceptance Testing (UAT)
- Manage stakeholder engagement and communication
- Document all underlying methodologies, design, assumptions and operating models
- Provide ongoing support to end-users
Functional Experience and Knowledge
- 3-7 years of experience in front or middle office Interest Rate Risk Management, Liquidity Management, Liquidity Risk Management or Treasury. Fresh graduates with relevant thesis in Finance/Banking field and outstanding academic record will be considered.
- Very good understanding and practical experience in most of the following:
- Liquidity cashflow mismatch
- LCR and NSFR
- Internal liquidity stress testing
- Understanding of bank systems architecture
- Ability to accurately gather and document business requirements and functional designs
- Work experience in end-to-end change management from business requirement definition, solution validation, user testing and production implementation is preferred.
- Excellent written and verbal communication in English.
- Essential: ALM and Commercial Book products
- Extra: Exposure to trading book products
- Work experience in the design and development of automated reports / processes
- Use Excel VBA to build prototypes and tactical models
- Query Bank systems using SQL
- Prior experience with Balance Sheet Management platforms (Moody's Analytics, QRM, Oracle, etc.) or booking platforms (Murex, Kondor, etc.) is an advantage.
Diversity & Inclusion
To introduce employee into the organisation and this new role, Treasury Modelling team has developed a 3-week structured training program aimed to equip new joiner with required knowledge and skills.
Training topics covered in the program include the following: Bank's and Team's organizational structure, liquidity risk and liquidity metrics, best Project Management practices, detailed walkthrough of systems and overall architecture, overview and deep dive on ongoing portfolio of projects, etc.
Standard Chartered is committed to diversity and inclusion. We believe that a work environment which embraces diversity will enable us to get the best out of the broadest spectrum of people to sustain strong business performance and competitive advantage. By building an inclusive culture, each employee can develop a sense of belonging, and can maximise their personal potential.