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Senior Mortgages ALM Manager

  • Location

    Malta

  • Sector:

    Banking

  • Contract Type:

    Permanent

  • Job Reference:

    MDR4091

  • Published:

    17 days ago

  • Expiry:

    2019-10-04

  • Client Details:

    MeDirect

  • Skills tags:

    Finance

Reporting to the Group Head of Treasury, the selected candidate will join the Treasury team and be responsible for all aspects related to asset and liability management and, in a second phase, wholesale funding for the bank. The selected candidate will assume the first line of defence' responsibility over these domains, and will work intensively with the Malta-based Treasury and Quantitative Modelling teams and with Risk (second line of defence). The Senior Mortgages ALM Manager role will be based in Belgium and the selected candidate will be offered one year accommodation and four flights over and above the Bank's standard benefits.

Duties and responsibilities

  • Defining banking book boundaries and identifying on and off balance sheet interest rate risk exposures
  • Establishing Interest Rate Risk in the Banking Book rate (IRRBB) and risk repositories
  • Designing IRRBB measurement methodologies such as economic value, maturity gap, duration gap, earning at risk, net interest income and Value at Risk
  • Establishing behavioural assumption mechanisms and conduct behavioural model validations such as non-maturing liability assumptions and effective maturity of the assets and equities
  • Designing IRRBB stress testing methodologies such as parallel yield curve shifts, non-parallel flattened and steepened yield curve shifts, and firm-wide enterprise scenario stress tests
  • Identifying hedging strategies to mitigate interest rate risk by identifying appropriate debt and derivative instruments and strategies considering corporate risk tolerances, hedging costs and benefits and liquidity constraints
  • Designing and validating interest rate derivative valuations and modelling assumptions to help build and assess existing interest rate risk or valuation assumptions considering defined peer results, industry-accepted ranges, or independent projections
  • Initiating and supporting the development of a suite of IRRB modelling tools
  • Providing interest rate related accounting assistance to address derivative accounting issues and compliance requirements
  • Conducting feasibility studies for the various forms of potential wholesale funding such as warehousing, securitisation and covered bonds
  • Contributing to the internal controls environment

Required knowledge, skills and experience

  • Master's degree in economics, sciences or engineering
  • A minimum of 10 years' of progressively responsible and relevant experience in asset and liability management
  • Communication skills in French or Dutch would be considered an asset