As a QRM expert, you will be focused on forecasting Net Interest Income (NII) of the bank and measuring both Interest Rate Risk in the Banking Book (IRRBB) and Liquidity Risk. You will do this by using and developing our balance sheet management tool QRM. Results are shared with our stakeholders in Treasury, Finance and Risk, and include several decision-making committees plus external regulators.
In this role you will:
- Produce monthly reports for the bank's ALCO (asset and liabilities committee).
- Integrate the latest regulatory requirements for CSRBB into our calculation and reporting framework.
- Configure dynamic hedging optimization for our interest rate forecasting.
- Contribute to the development and implementation of a dynamic prepayment model
- Take ownership for the setup of the calculation engine and the reporting.
- Meet the challenge of analyzing the balance sheet and market developments, and of exploring quantitative tools to maximize efficiency and accuracy in measurement and reporting.
- Align frequently with main stakeholders (BSM, IT, Modeling, Risk).
Ideally, you will have:
- Preferably a Master in Financial Economics or Econometrics;
- Knowledge of financial market products and how these are modelled;
- Relevant experience when it comes to reporting, the configuration of financial systems or possibly even QRM is a significant advantage;
- Able to work with large data sets and software such as SQL;
- Helicopter view of the banking business;
- Strong communication skills, both verbal and written