As 2nd line of defence, the Market
and Liquidity Risk Management department independently organizes the identification, measurement, monitoring,
mitigation, supervision and reporting of the market and liquidity risks
undertaken by the Bank. The department is notably in charge of the regulatory
Liquidity, Market, Interest Rate Risk in the Banking Book (IRRBB) and Credit
Spread Risk in the Banking Book (CSRBB) measurement and reporting. The ALM,
Treasury, Investment Portfolio, Structured Products and FOREX activities are
under the supervision of the department.
As Market Risk Analyst, you will be a member of the IRRBB team and you
will be responsible for:
- Computing, analysing, and monitoring the interest rate and credit spread risks measures.
- Providing regular assessments regarding gap, basis and option risks.
- Supporting the development of behavioural models.
- Maintaining the internal market risk environment in line with the regulatory landscape.
Your next challenge:
- Produce, analyse and control the regulatory and internal Economic Value, Net Interest Income and Maturity Schedule measures.
- Contribute to the ALM Committee preparation.
- In the perspective of the new IRRBB reporting, develop integrated solutions in RiskConfidence ALM to optimise the IRRBB/CSRRBB process.
- Define and document methodologies (cash flow modelling and scenarios) to adequately assess the Interest Rate and Credit Spread Risks in the Banking Book.
- Provide analyses to calibrate the Risk Appetite Framework and the Policy limits.
- Measure the gap, option and basis risk as part of the Risk Cartography and the ICAAP.
- Take part in the overall risk reporting process, including SREP, ICAAP, Pillar 3 and annual report contributions.
- Together with ALM and ERM teams, support the modelling of Non-Maturing Deposits, Prepayment, Non-Performing Exposures and Loan Commitments.
- Provide ad-hoc analyses and simulations to support and challenge the 1st line of defence or to address Internal Audit, Internal Validation or regulatory requirements.
- Participate to regulatory exercises which pertain to IRRBB/CSRBB (e.g. EU-wide stress tests).