Your next challenge:
- In close collaboration with the Financial Markets department, BIL's Market and Liquidity Risk Management Risk Management (MLRM) oversees various activities in relation to market, liquidity and counterparty risks. In this respect, the department notably represents the 2nd line of defense in regards to the Interest Rate Risk in the Banking Book (IRRBB). The dedicated IRRBB team is responsible for:
- Maintaining the MLRM environment and IT risk tools in line with regulations and responding to requests from the Regulator related to interest rate risk, the new benchmark rate reform regulation (IBOR transition) and the IRRBB scope;
- Producing & Automating regulatory and internal risk reports;
- Monitoring the risk indicators related to interest rate risk of BIL Group (EVE, NII…) ;
- Developing and running stress test scenarios.
- Produce and analyse the IRRBB indicators;
- Participate to the implementation of the net interest income stress test;
- Maintain the risk management tool (RCO ALM) configuration and upgrades with respect to new regulatory requirements, new models implementation and data mapping.
- Handle hot topics such as regulatory requirements or specific demands from the management related to the IRRBB.
- Actively participate to the current migration of core banking system and the maintenance of databases related to IRRBB and market data;
- Put in place regular controls to ensure consistency between risk reports and the Finrep;
- Ensure the documentation of the department processes and procedures;
- Develop, refine and automate reports and methodologies dedicated to IRRBB assessment (EVE, NII, CSRBB);
- Together with ALM and Risk teams, support the modelling of non-maturing deposits, prepayment and non-performing exposures;
- Take part in the overall risk reporting process, including SREP; ICAAP, Pillar III and annual report contributions, and provide analyses to meet regulatory and management requirements;
- Contribute to the ALCO preparation;
- Participate to the EU-wide stress testing (EBA) related to the net interest income stream
- In close collaboration with IT, project teams and the ALM department, participate to the migration from Fermat ALM to RCO ALM;
- Take over & implement the findings from Internal Audit, Internal Validation and Regulatory requirements.