Senior market and liquidity Expert

For our client, significant bank, we are looking for a candidate to new international risk department team - position of Market and Liquidity Risk Modelling Expert (Advanced).

This offered position is located in Market and Liquidity Risk Methods and Models. The main responsibilities of the unit are:
• Development of models for market risk liquidity risk used for internal steering and regulatory use
• Running and developing an internal market risk model for risk steering and regulatory purposes
• Calculation of capital requirements for market risk for Pillar 1 and Pillar 2 using the internal model

Job Description:
The key focus of the position is to support the banks development of models for banking book and liquidity risk management.
This includes:
• Models for estimating potential outflows of different product classes.

• Models for the integration of liquidity risk into the internal capital adequacy and common currency of risk framework

• Models relevant for market value risk measurement in the banking book (market value/duration of equity, interest rate and liquidity profiles, prepayment risks, etc.)

• Models for Fair Value measurement under IFRS 13/IFRS 9

• Regular benchmarking of existing models against regulatory standards and market best practice
• Strong co-operation with other departments responsible for risk steering, liquidity management, model validation and subsidiaries

Besides the close integration and communication within the immediate team members Market and Liquidity Risk Modelling Expert directly interacts closely and regularly with the banks steering departments like ALM, Treasury, Enterprise Wide Risk Management. S/he also maintains frequent contact to Model Validation and Information Technology departments.
Contacts to related departments within bank group subsidiaries and the modelling and risk management community in other banking institutions will be an important component of the function.

We are looking for several candidates experienced in risk management, also for other positions. Please send us CV for future. You can use directly email: [email protected]

Banking, finance

International bank, setting up a new risk division in Bratislava.