Head of ALM
An opportunity exists for an experienced Treasury Manager/Senior Manager to take the next step in their Treasury career.
The Head of ALM will assist in strategic planning and long term goal settings for the bank. You will manage and develop Treasury analysis which will include ALM, IRR modelling, liquidity modelling and reporting.
You will be a member of the ALCO, where you will be expected to provide high quality ALM management information particularly in relation to IRRBB. Your role will also be to challenge the Treasurer on matters such as the balance sheet forecast, ALM modelling assumptions, and the ILAAP.
- To develop and maintain the ALM system, including reporting on IRRBB and Liquidity Risk
- Ensure the integration of the current IRRBB model with other control processes to improve efficiency and effectiveness
- Further develop IRRBB reporting templates and create training materials
- Assist in developing the implementation of IRRBB related KPIs and EWIs for performance monitoring and quality measurement purposes
- Take ownership of the balance sheet and hedging
- Ensure full adherence of processes in relation to IRRBB EBA guidelines
- Carry out ALM processes, calculation of EVE and EaR metrics regularly when required, providing reports and commentary for presenting to ALCO and Board
- Collate Board papers to advise on ALM decisions within the bank
- Write the IRRBB policy and supporting analysis
- Create new models to enhance IRRBB modelling capabilities
- Conduct behavioural assumption analysis and implementation
- Produce and submit regulatory returns, e.g FSA017 and Basis Risk as and when required
- Aid in the production and development of the ILAAP and supporting policies
- Assist in the preparation of stress testing, scenario simulations and back testing.
- Ensure appropriate policies are in place with methodology and approaches being documented appropriately
- Ensure robust controls are in place so that stress testing assumptions sufficiently reflect corresponding risks
- Assist in the development of the implementation of liquidity-related KPI and EWI performance monitoring and quality measurement purposes
- Provide input into the Bank’s approach to Funds Transfer pricing
To be suitable for this position in the team, the Head of ALM will have relevant Treasury experience within the banking industry. Due to the nature of the role, it is important to have a strong knowledge of ALM, particularly IRRBB. The role holder must work well as part of a team and promote knowledge share/development of more junior members of the team.
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Shortlisted candidates will be invited to attend a follow up interview at a date to be confirmed.