AVP - Asset Liability Management Risk
Glasgow, United Kingdom
3d ago

What will you be doing?

  • Supporting the Identification, measurement and management of Interest rate risk in the Banking Book (IRRBB), FX risk and other market risks within the banking book.
  • Producing regular and adhoc MI / analysis related to IRRBB, FX and other market risks. This will include Annual Earnings at Risk (AEaR) and other risk metric forecasting under different scenarios.
  • Reviewing and challenging new products from ALM risk perspective and work closely with Business, Finance and Treasury to ensure that the risks are hedged or managed appropriately.
  • Support the review and challenge of Product and Structural hedging strategies proposed by Treasury.
  • Have a detailed understanding of the ALM risk management model and ensure that all products are accurately modelled and risk metric results are accurate.
  • Support the review and challenge of the behavioural assumptions used for hedging interest rate risk within the banking book.
  • Review and challenge regulatory reporting related to IRRBB, FX and other market risks.
  • Ensuring compliance with Group Market Risk policies and standards in compliance with the Group ERMF.
  • What we’re looking for :

  • Educated to Degree level in a quantitative subject or previous relevant equivalent experience
  • Knowledge of VaR, EaR, EVE and other risk management tools and practices
  • Familiarity with FX Markets
  • Understanding of governance and control frameworks
  • Skills that will help you in the role :

  • Understand of NTMR specific regulations (i.e. Basel, PRA and EBA guidelines on IRRBB)
  • Prior experience using QRM
  • Understanding of Treasury ALM management
  • Advanced excel skills
  • Where will you be working?

    Barclays Scotland is a real Scottish success story. We’ve been in Scotland for 250 years, and our significance has never been as important as it is today.

    Glasgow is a recognised strategic hub within Barclays globally, and admired as a shining light in Scottish business. Due to the scale of work we do here, there are countless opportunities for our colleagues to develop and progress.

    We’re a place where talented people can build a satisfying and diverse career, within a community of talented and passionate people.

    Interested and want to know more about Barclays? Visit home.barclays / who-we-are / for more details.

    Our Values

    Everything we do is shaped by the five values of Respect, Integrity, Service, Excellence and Stewardship. Our values inform the foundations of our relationships with customers and clients, but they also shape how we measure and reward the performance of our colleagues.

    Simply put, success is not just about what you achieve, but about how you achieve it.

    Our DiversityWe aim to foster a culture where individuals of all backgrounds feel confident in bringing their whole selves to work, feel included and their talents are nurtured, empowering them to contribute fully to our vision and goals.

    Our Benefits

    Our customers are unique. The same goes for our colleagues. That's why at Barclays we offer a range of benefits, allowing every colleague to choose the best options for their personal circumstances.

    These include a competitive salary and pension, health care and all the tools, technology and support to help you become the very best you can be.

    We are proud of our dynamic working options for colleagues. If you have a need for flexibility, then please discuss this with us.

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