Market Risk Strategic Initiative Director

Using a number of modeling techniques and data structures, project the potential interest rate risk on short-term earnings and longer term equity and economic value at risk. Monitor potential loss across different types of risks. Establish thresholds, at-risk levels and exposure limits by product and business. Based on model results, suggest changes to positions and strategies.

Using a number of modeling techniques and data structures, project the potential interest rate risk on short-term earnings and longer term equity / economic value at risk, taking into account both a static analysis of interest rate margins and a dynamic view of changing market conditions including elements such as yield, convexity, duration and FX. Create fair value equivalents for asset prices and funding costs using existing pricing data from businesses, counterparties, markets, replacement costs and transfer pricing data. Stress test results. Prepare a gap analysis. Stress test results. Create and maintain a methodology that takes into account total cost of funding including deposits incorporating relevant ops costs. Create, measure and monitor potential loss across different types of risks (interest, convexity, duration, FX, counterparty, etc.). Establish thresholds, at-risk levels, and exposure limits by product and business. Based on model results, suggest changes to positions and strategies.

Ensure collaboration with consulting firms, academic institutions and other financial institutions to improve modeling techniques and understand emerging trends. Improve data gathering and model construction through partnerships with units such as IT. Work cooperatively with industry specialists, country risk managers, credit review / analysis staff, treasury staff and relationship managers to determine and evaluate if potential risks are properly reflected in the models. Support long- and short-term planning, new product development, ALM and risk management meetings. Network within the industry through meetings, events and involvement with trade organizations to better understand emerging risk trends and how they are reflected in models. Establish relationships with auditors and regulators to better understand their concerns and reduce potential compliance issues.

Apply an advanced knowledge of financial analysis, especially elements of interest rate analysis such as yield, convexity, duration, and FX. Demonstrate a solid understanding of financial markets and economics to ensure models take into account current and changing conditions and to create a valid set of variables and scenarios. Have strong risk modeling skills to take into account various types of risk, correlation between risks and idiosyncratic risk. Have a solid understanding of information technology, data management and statistical analysis to create meaningful modeling and analysis. Communicate analytical data effectively.

Recommended years of experience: 10

D&I Commitment

Responsible for fostering a culture of diversity and inclusion, holding leaders accountable for creating an inclusive environment through awareness and practice of equity in recruiting, developing, and promoting diverse talent.