Your Mission:
As 2nd line of defence, the Market and Liquidity Risk Management department supervises and independently organises the assessment, the monitoring and the reporting of the market and liquidity risks undertaken by the Bank. The balance sheet management and the client flow management activities are under the supervision of the department.
Your Key Responsibilities:
• Monitoring the key liquidity risk indicators;
• Participate to various projects (Regulatory and BIL transformation plan);
• On demand, support, analyse daily reporting issues and problems solving;
• Handling hot topics such as regulatory requirements and specific demands from the management, the supervisor or the auditor;
• Participate in the development of Financial Risk Management reporting tools. In view of the current priorities of the department, the Liquidity Risk Analyst will help the team to cope with complex technical environment and various projects.
• Produce and analyze liquidity metrics (LCR, NSFR,…), including in a forward-looking perspective;
• Develop, calibrate, and implement liquidity stress tests within the framework of the "risk appetite," regulatory exercises (ECB stress tests and SRB requirements), and the Bank's funding plan;
• Respond to ad hoc internal (internal audit, Management) or external (external audit, JST) requests;
• Conduct the quantitative exercises required by the regulator (EBA, CSSF, SRB);
• Initiate a process improvement and optimization approach for liquidity risk indicator calculations;
• Promote the advisory mission to the Front Office/Management in order to optimize risk/revenue allocation.