Head of IRRBB steering group
In Raiffeisenbank Treasury we manage the bank’s liquidity, capital and interest rate risk position of Banking Book. Currently we are searching for a Head of IRRBB Steering and Product Development & Support Group. In this position you will manage IRRBB and FTP teams of Raiffeisenbank Treasury and directly influence financial result of the bank through short and long-term NII steering strategies. You will also be responsible for embedded optionality management and Funds Transfer Pricing mechanism support.
- perform ongoing management of IRRBB (gap risk, basis risk, optionality risk) under both EVE and NII metrics within established risk limits via cash instruments, derivatives and on-balance measures;
- responsible for optimization of financial result of the bank coming from interest rate risk position through development and implementation of NII/EVE hedging strategies;
- responsible for assessment, pricing, management and financial results of embedded optionalities in bank's products. Acts as a business owner of quantitative models, used to assess, price and steer optionality risk in banking book;
- responsible for actual maturity transformation result of Treasury coming from interest rate risk as well as forecasting of this result;
- support and develop hedge accounting;
- responsible for review and development of Funds Transfer Pricing mechanisms for new products and validation of existing pricing methods.
- bachelor or Masters in finance/economics/math;
- at least 5 years of experience in bank Treasury, Market Risk Management, Finance;
- solid grasp of finance, statistics, econometrics, methods of accounting and financial control. Strong technical skills: Excel, PowerPoint, R/Python;
- hands-on experience with financial markets and working knowledge of financial instruments (fixed-income, FX/IR derivatives, basis swaps, options);
- strong understanding of bank’s balance sheet and products, theory and practice of assets and liabilities management, in particular IRRBB management and principles of FTP, relevant regulations and risk metrics. Proven experience in behavioral models development and embedded options pricing;
- fluent English is a must (upper-intermediate as minimum);
- excellent communication and interpersonal skills. Team management and project management experience is a strong advantage;
- additional qualification (e.g. FRM, CFA) is an asset.
What we offer
- challenging and meaningful tasks with immediate impact on decision making and key performance metrics of the bank, regular communication with top-management;
- work in a compact Treasury team with close cooperation on a broad scope of interconnected tasks and projects - opportunity to quickly progress in Treasury fields and to take over responsibility;
- opportunity to manage a team of 4 employees with a tailored professional and managerial development training;
- engaging and flexible corporate culture;
- driven and supportive team of NES/HSE alumni;
- competitive salary and excellent social package;
- flexible hybrid work mode.