Market Risk Manager, Treasury and Banking Book

Full Time

Madison-Davis Client


Market Risk Management is responsible for managing market risk arising from trading activities as well as market risk embedded in its lending or primary activities. The primary objective is to ensure that Business units optimize the risk-reward relationship and do not expose it to unacceptable losses. The Treasury and Banking Book is a team within Market Risk Management covering risk exposures generated in business areas such as Treasury (including Banking Book Asset Liability Management, Capital Management, and Liquidity & Funding Management), Private Wealth Management, Global Transactional Banking, and Global Markets. The Treasury and Banking Book is also the primary second line of defense to ensure compliance with the Interest Rate in Banking Book (IRRBB) standards, and for defining and implementing risk management frameworks.

Your Key Responsibilities:

  • Perform 2nd line of defense responsibilities for US Treasury activities in relation to asset liability management
  • Work alongside US Treasury to improve asset liability management capabilities of the firm.
  • Enhance and maintain a comprehensive framework to identify, measure, monitor & manage market risks
  • Have constant awareness and understanding of market risks taken by the business areas.
  • Communicate to senior management, and with external stakeholders, summarized banking book risk profiles in the US
  • Analyze and provide transparency to senior management, the banking book risk metrics, including Economic Value of Equity (EVE) and Net Interest Income (NII) / Earnings at Risk sensitivities
  • Evaluate capital volatility measures driven by accounting treatment asymmetries of various products within the portfolios
  • Partner with Treasury and Finance on developing a robust framework to independently review new hedge accounting program in the US. Partner with the business units to guide them through risk in banking book developments

Your Skills and Experience:

  • Have multiple years of experience in a financial markets role, preferably in market risk management or Treasury areas
  • Intellectual curiosity to learn new products, risk measures, systems and processes
  • Independent and self-motivated to enhance and simplify complex problems
  • Understanding of financial markets, derivatives and market risk
  • Knowledge of key risk measures (e.g. duration, PV01, VaR, Stress)
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