VP, US Market Risk Management Treasury and Banking Book

Full Time

International Investment Banking Client

Office Status: Hybrid

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, and manage market risks; partner with Treasury and Finance on developing a robust framework to independently review new hedge accounting program in the US
  • 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
  • Enhance risk appetite frameworks, liaising with front office and other risk functions; understand and challenge the risk-reward profiles of new products and transactions
  • Liaise with respective asset class risk managers to ensure that cascaded risk appetites stay within limits; participate and lead working groups to improve risk identification, risk measurement and risk reporting
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