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31 March 2009
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Interest Rate Modelling Manager - Royal Bank Of Scotland Group
Royal Bank of Scotland Group is looking for Interest Rate Modelling Manager in London
Company name: Royal Bank of Scotland Group
Salary: 75 000
Job details:
An involving chance to join the Royal Bank of Scotland Group into the rapid paced atmosphere of Group Treasury, a key region for the business which will transmit you exemplary publicity across the group and lay the basis for your advancement through the company. Apply now!
We are also recruiting for many different Contract jobs in Group Treasury from Project Managers to Business Analysts - to be considered for these job offers send an email to john.macmillan@rbs.co.uk with your Curriculum vitae, key skills, existent salary and anticipations
The Royal Bank of Scotland Group has an worldwide presence in banking and the dignity we take in pursuing excellence and innovation is matched by the dedication we display to our employees and their development.
An exemplary occasion has arisen for an Interest Rate Modelling Manager - ALM to join our Group Treasury Function
Working as part of a crew of asset and liability modelling experts to compose and run Bancware (Convergence 5) ALM models across the Group banking book to give:
- Analysis of exhibition to interest rate risk
- Identify interest rate risk exposures on the balance sheet
- Advice to senior management on potential hedging options
Requirements:
The successful candidate will have the following responsibilities:
- Balance sheet (asset and liability models built utilizing Sungard's Bancware (Convergence 5) simulation software to deliver analysis of the Group's interest rate risk exhibition in the banking book
- Working with business leaders to produce assumptions to analyse how net interest income reacts in stress tests and in just scenarios and to compose these assumptions into the model
- Working closely with the business to validate the inputs and results of the models to ensure overall business by in of the results of the stress and scenario testing
- Carry out monte carlo simulation on business models to deliver the Group's interest rate publicity for ICAAP under Basel II
- Manufacture ad hoc analysis of exposures in the balance sheet utilizing Bancware models
- Sustain the Group's delivery of regulatory requirements, specifically CP08/22 and 24, Liquidity and integrated Stress Testing
The Individual
You will have experience in:
- Building Asset and Liability models in simulation packages (preferably Bancware Convergence 5)
- A detailed knowledge of retail and wholesale banking products and behavioural analysis of balance sheet items in stress situations, preferably in a Group Treasury atmosphere
- Terminated financial modelling skills
- Compassionate process of information extract and transformation processes primary to upload information to the simulation software
Technical Knowledge
- Proper compassionate of the structure and risks internal in banking products, deals, corporate structure and unabridged found-up of bank balance sheets
- All-inclusive compassionate of relevant regulatory / legal / reputational / supervisory / accounting context and existent issues
- High level of compassionate of the risk drivers within a Group balance sheet
- High level of financial modelling and IT literacy
- Experience in an asset and liability management/ stress testing atmosphere would be an benefit
E-mail: john.macmillan@rbs.co.uk Phone: 0131 626 2461
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