Responsibilities:
To oversee and validate Daily / Weekly / Monthly Report's outlined below, and provide 2LOD Market Risk reporting for ALCO:
- INVESTMENTS
Market to market (MTM) computation and monitoring
VaR - AFS portfolio
VaR - HFT Portfolio VaR - HTM portfolio PV01
Total Appreciation/Depreciation
Modified Duration
Modified Duration Swap adjusted
- SWAPS
Interest Rate and Cross Currency Swaps:
Section 1 - Hedges against Investment portfolio Section 2 - Hedged for Other Assets / Liabilities Section 3 - Back to Back
Funding swap Subsidiary:
2LOD Monitoring of the derivatives (Funding Swaps & Cross currency swaps) to
ensure that they are in line with bank's market risk limits and requirements
- FX/MM
Net Open FX Position NOOP (Live) independent monitor
Net Open FX position (NOOP) End of Day independent monitor, and FX revaluation
Daylight Prop Trading limits (LMB only) Intraday PL Trading PL monitor (LMB only)
Rate Scan Report FX and MM
ESDOP - FX currency turnover and Position or PL breach report (LMB)
- BANK LIMITS
LMB
Live Treasury Bank Exposures End of Day Bank Exposure report
BEXI - IBG Bank limit monitor and upload;
Subsidiary:Bank limits to be monitored (when BEXI equivalent tool implemented).
- LIQUIDITY (LMB)
IBG Tolerance Test Monitor IBG Contingency Triggers
Overnight Borrowing as a% of Balance Sheet
50% Short Term Assets Not to Exceed 50% Balance Sheet monitor LCR Ratio / Limit monitor
LCR 60, 90, 180 Day projections LCR Stress Test
Liquidity Planning Schedule Asset/Liability Stress test
If interested, please apply below. Alternatively, email your CV to chris.norton@goodmanmasson.com
In our company values we aim for equity at all stages of the recruitment process, please let us know if we can do anything to make the process more accessible to you.
With a team of 180 and growing every day, Goodman Masson is London’s specialist Finance and Technology recruitment business. Voted ‘Recruitment Agency of the Year 2021', our passion for what we do is clear.
Based in London, Düsseldorf and New York, we hire across Finance, Technology and Specialist markets including the areas of Accountancy & Finance, Audit, Actuarial, Banking Operations, Change Management & Transformation, Compliance, Investment Management, Tax, Treasury, Housing Development, Pharmaceuticals, Technology, Digital & Data and Software Engineering.
We successfully provide both contingent recruitment and RPO solutions to a wide range of clients, through a brilliant understanding of sourcing and recruiting, the creation and evolution of employer brands and the fascination in the modern workplace.
