MEDirect

Risk

• Support second-line-of-defence oversight of ALM and treasury operations
• Monitor and report Interest Rate Risk and Credit Spread Risk in the Banking Book (IRRBB and CSRBB)
• Support migration from the current Excel-based model to a third-party ALM system
• Support implementation and calibration of interest-rate scenarios, including standardised and internal stress scenarios
• Automate manual processes where feasible
• Oversee behavioural models and assumptions for non-maturing deposits, prepayment behaviour and embedded optionality
• Monitor and challenge modelling assumptions related to Funds Transfer Pricing (FTP) and commercial margin
• Assess the impact of misestimating behavioural assumptions on IRRBB
• Support independent validation of ALM, IRRBB and liquidity models
• Contribute to the Model Risk Management Framework and model governance standards
• Prepare risk reports, management information and quantitative analyses for senior management, ALCO and the Board
• Produce, review and enhance reporting on IRRBB, liquidity risk, CSRBB and model risk
• Perform data analysis and provide commentary on risk trends and emerging risks
• Ensure reporting meets regulatory and internal policy standards
• Monitor risk indicators and risk appetite metrics, escalating material issues and model concerns
• Contribute to ICAAP, ILAAP and stress-testing exercises
• Collaborate with Treasury, Finance, Risk Analytics and ALM teams

Senior Risk Officer – ALM, Model Validation