IRRBB Senior Analyst
In Raiffeisen Bank Treasury we manage the bank’s liquidity, capital and interest rate risk position of Banking Book.
Currently we are searching for a Senior IRRBB Manager. In this position you will directly influence financial result of the bank through management of short and long-term NII steering strategies. You will be responsible for development and execution of interest rate risk strategies including embedded optionality hedging.
- perform ongoing daily management of interest rate risk in the banking book (gap risk, basis risk, optionality risk) within established risk limits under both EVE and NII measurements;
- investigate drivers of changes in interest rate exposure; prepare stress tests, scenario analysis and forecasts of IRRBB exposure and NII of the bank. Reconcile actual and forecasted results;
- develop, propose and execute hedging strategies of IRRBB exposures, coming from existing and new business;
- analyze drivers of current P&L result and forecast P&L in various interest rate scenarios;
- responsible for optimization of financial result of the bank coming from interest rate risk position of the bank through development and implementation of the strategic IRRBB positions and NII hedging strategies.;
- support and expand hedge accounting;
- actively participate in review and development of quantitative models, used to assess, price and steer optionality risk in banking book;
- contribute to development of Funds Transfer Pricing methodologies for new products and validation of existing pricing methods in IRR part.
- bachelor or Masters in finance/economics/math;
- at least 1.5 years of experience in bank Treasury, Market Risk Management, Finance;
- solid grasp of finance, statistics and econometrics;
- hands on experience with financial markets and working knowledge of financial instruments (fixed-income, FX/IR derivatives, basis swaps, options);
- familiarity with bank’s balance sheet and products, good understanding of IRRBB management principles, regulation and risk metrics as well as proven experience in behavioral models development and option pricing is a strong advantage;
- strong technical skills in Excel and Powerpoint, confident knowledge of R/Python;
- fluent English (upper-intermediate as minimum);
- excellent communication and interpersonal skills;
- additional qualification (e.g. FMR or CFA) is an asset.
What we offer:
- immediate impact on decision making and key performance metrics of the bank;
- challenging and meaningful tasks;
- engaging and flexible corporate culture;
- driven and supportive team of NES/HSE alumni;
- competitive salary and excellent social package;
- comfortable office near Smolenskaya.