Fixed Income Model Risk Management

Temporary

Madison-Davis Client

Summary

  • LIBOR reform project support. The LIBOR transition program is critical for continuation of the business in the bank. This position will support the project team, design and deliver MIS and data related to the transition, helping the bank to transition away from LIBOR by enhancing the trade capture and risk report process.
  • THC model management.  THC is a vendor developed model supporting the interest rate and liquidity risk management for the branch. This position will support the model risk management via quarterly backtesting and annual model validation.  Adhoc support to help model users is also expected.
  • This role reports to the head of the risk management department.

Responsibilities

  • Maintain and enhance MIS and data analysis process relating to LIBOR transition within the bank across various departments, including corporate banking, treasury, risk and other departments.
  • Work within the LIBOR Transition Working Group to help manage the project, and prepare materials for distribution to key stakeholders relating to LIBOR transition readiness
  • Help with treasury back office to adapt new settlement conventions.
  • Work with business departments to collect, assess, and formulate requirements for business and IT departments
  • Validate data and valuation processes for risk purposes
  • Perform THC model risk management function

Requirements 

  • Master’s or higher education in finance, business or quantitative field.
  • 5+ years of experience in banking with market risk and trade life cycle
  • Strong knowledge of interest rate and related products
  • Experience working in corporate bank, managing data and/or change management process
  • Proficiency in Excel/VBA, SQL/Access and Power Point
  • Strong time management and communication skills
  • Ability to work independently and within group setting in a high stress environment

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