Risk Manager, QRM Implementation

  • Competitive
  • Zurich, Switzerland
  • Contract, Full time
  • Swisslinx
  • 19 Feb 18 2018-02-19

Risk Manager, QRM Implementation

For our client, an international bank with a global reach, Swisslinx are looking for a highly motivated Risk Manager for IRRBB project that needs to ensure regulatory compliance. This is a contract with a strong chance of renewal, located in Zurich.

Risk Manager, QRM Implementation

As the successful candidate you will join a highly motivated team comprising representatives from Finance, MLRM global and modelling. You will work on the hands on configuration of QRM.

Your responsibilities will include the following:
• Understanding the requirements of the modellers, the target state modelling approach and the speed/accuracy trade-offs entailed by the repository management..
• Positing an approach to product aggregation that provides an optimal tradeoff in terms of speed/accuracy
• Negotiating a compromise between stakeholder preferences and what is pragmatically deliverable by the QRM platform
• Describing the agreed stratification approach in a comprehensive clear specification that can be used by implementers.
• Products and accounts definition
• Modelling definition - set up of modelling assumption
• Scenarios and strategies definition - set up of stressed scenarios and planning trees/strategies
• Dry run - set up of full Balance Sheet, validation of position data , validation of baseline NII, validation of NII at Risk
• Reports definition - set up of reports/data output as required by reporting work stream
• Go-live support

As the ideal candidate you will possess the following skills and experience:
• Specialist knowledge of IRRBB and QRM platform
• Previous experience in QRM implementation/configuration
• Knowledge of core banking book products (loans, deposits and hedging instruments, etc.)
• Experience working for a big international banking environment
• Knowledge of behavioral modelling (in particular for NMP deposits)
• Knowledge of ALM, replication and FTP concepts
• (Basic) knowledge of accounting, familiarity with market data and products valua-tion
• Understanding and management of inputs/requirements from other departments
• Fluency in English

Are you interested in a new challenge? Then please send us your full CV (Klaudia.burdzy@swisslinx.com)