n Raiffeisen Bank Treasury we manage the bank’s liquidity, capital and interest rate risk position of Banking Book.
Currently we are searching for a 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.
- analyze drivers of current P&L result and forecast P&L in various interest rate scenarios;
- actively participate in review and development of quantitative models and risk metrics used to assess IRR position and price optionality risk in banking book;
- contribute to development of Funds Transfer Pricing methodologies for new products and optionalities, validation of existing pricing methods in IRR part;
- 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;
- 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.
- bachelor or Masters in finance/economics/math;
- at least 2 years of experience in bank Treasury, Market Risk Management, Finance;
- solid grasp of finance, statistics and econometrics;
- strong technical skills in Excel and Powerpoint, confident knowledge of R/Python;
- 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;
- hands on experience with financial markets and working knowledge of financial instruments (fixed-income, FX/IR derivatives, basis swaps, options);
- fluent English (upper-intermediate as minimum);
- excellent communication and interpersonal skills;
- additional qualification (e.g. FRM or CFA) is an asset.