Senior Vice President, Non-Trading Market Risk
The Chief Risk Officer for Finance (Finance CRO) organization provides risk management oversight of the Global Finance function, including effective risk challenge and mitigation of risk for capital, liquidity, interest rate risk and Treasury investments, and ensures compliance with all risk-related regulatory requirements. In addition, the team oversees the key risk management methodologies and calculations, including CECL and IFRS9 for credit reserves, and Basel Advanced RWA
Non-Trading Market Risk Management group, as a part of the Finance CRO organization, is responsible for independent risk management of non-trading market risk, including interest rate risk in the banking book as well as market risk management of Treasury Investments. It identifies, measures, and monitors non-trading market risks and it provides independent review and challenge to the first-line activities.
Senior Vice President, Non-Trading Market Risk Management provides independent second line role in Non-Trading Market Risk including Interest Rate Risk in the Banking Book and market risk management of Treasury Investments. Participates in establishment of frameworks for evaluating the impact of adverse Non-Trading Market Risk events and circumstances on the Firm’s operations and financial condition. Utilizes thorough understanding of methodologies, relevant regulatory requirements, and governance control processes for independent risk management oversight of Non-Trading Market Risk activities. Provides contribution to development of target state strategy of the overall approach to Non-Trading Market Risk programs in alignment with the Enterprise Risk Management Framework.
The role will require review of interest rate risk metrics and processes supporting risk management to identify potential emerging risks or areas of the governance framework requiring enhancement. The role will also provide effective challenge within independent risks in areas related to Interest Rate and ALM risk management. The challenge may require analysis using market and internal data as well as quantitative techniques including statistical analysis.
Responsibilities:
- Ensures second line independent market risk oversight of first line including Interest Rate Risk in the Banking Book (IRRBB) and market risk management of Treasury Investments.
- Reviews and challenges IRRBB risk identification activities performed by the first line units.
- Reviews the challenges IRRBB proposal on entity limits, assumptions, and models, as well as transfer pricing strategies
- Ownership of 2LOD review and approval of 1LOD IRRC & FTPC proposals within LTAM clusters, supported by CBNA&LE risk managers. Produce presentation materials and present analysis to senior management
- Responsible for review and IRRC approval of IRRBB modelling proposals (e.g. beta) within LTAM clusters, in conjunction with CBNA&LE risk managers
- Ensuring Group-level guidance for NTMR limit setting is appropriately followed by CBNA&LE risk managers, in conjunction with cluster heads
- Develop and implement process for review and oversight of IRRBB metrics and exposures, in conjunction with Group NTMR, including International coverage
- Review of proposed changes in NTMR-owned Policy Documents, from a cluster perspective, in conjunction with cluster heads
- Provide independent challenge to proposed changes in IRRBB models and assumptions, from a cluster perspective, in conjunction with cluster heads
- Monitor NTMR in clusters, understanding the drivers of significant movements in reported exposures
- Contribute to the development or production of metrics used to satisfy local regulatory requirements and stress testing processes required within the clusters, in conjunction with CBNA&LE heads
- Review of Unit CBNA&LE raised draft issues from NTMR perspective for consistency within and across clusters
- Liaise with cluster Treasury and CBNA&LE heads to identify emerging ALM and interest rate risks
- Identify and analyze new and emerging risks from perspective of Non-Trading Market Risk Management in the clusters
- Assist in relevant audits, regulatory inspections and reviews
Qualifications:
- Minimum 10 years of experience within risk management, treasury or support functions with exposure to balance sheet, financial products, financial/risk analysis
- General understanding of treasury products – securities, derivatives, and a broad mix of underlying asset classes
- Knowledge of market risk/IRRBB/liquidity models and regulatory framework
- Prior work experience in the regional markets
- degree on Economy, Business, Math/Engineering; Master’s degree preferred
Risk ManagementTreasury RiskFull timeTampa Florida United States$141,440.00 - $212,160.00
Anticipated Posting Close Date:
Jul 18, 2024View the " " poster. View the .
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