|
Treasury - Barclays (All Levels) |
|
Written by MBA Jobs
|
|
Thursday, 04 February 2010 |
Role Purpose
* The jobholder will identify and manage (within defined risk limits) the market risk embedded in retail products and its risk transfer using internal wholesale market transactions (primarily interest rate swaps) for banking book interest rate exposures arising within the UK balance sheet, including GRCB and Wealth. To achieve this, the jobholder will be expected to manipulate data using Bancware ALM4 (an ALM tool). An initiative is currently in place to migrate to ALM5. The jobholder will also be expected to contribute to the execution and implementation of new Funds Transfer Pricing (FTP) initiatives.
* BAU risk management involves assessment of the exposure, hedge execution with Transaction Management (Barclays Group Treasury) and risk reporting.
* The funds transfer pricing methodology of the Group will be applied through adherence to procedures that comprise the use of predetermined behavioural profiles and execution of internal interest rate swaps to transfer liquidity and basis risk out of GRCB into Group Treasury for management, at pre-determined rates.
* BAU risk management involves assessment of the exposure, hedge execution with Transaction Management (Barclays Group Treasury) and risk reporting.
Main Accountabilities
Product Risk Management
* Execute risk transfer transactions with Barclays Treasury to mitigate risk in respect of both existing and new business flows within limits defined by Barclays Market Risk.
* Demonstrate compliance with Board Governance Standard for market risk and all supporting policies
* Maintain documentation and process maps for the risk transfer process for each portfolio of assets / liabilities
* Support and train new members of the team in all areas of the risk transfer process
* Maintain and where necessary build models and reports in Convergence (ALM4 and ALM5
* Execute risk transfer transactions to support the Funds Transfer Pricing Process.
Technical Skills/Competencies
* Solid user of common Microsoft office (to Macro / basic Visual Basic standard)
* Ability to price Vanilla Swaps from first principles
* Understanding of the effect of changing interest rates on;
o The value of derivative positions
o Yield curves
o Retail and corporate customer behavioural patterns (and how they compare to the model assumptions made)
and the consequent cost/benefits of applying changes to assumptions
* Strong understanding of the economics behind yield curves, e.g. market expectations due to micro and macro financial information
* Excellent numeric ability
* Good communication and relationship management skills
Knowledge and Expertise (relating to specialist knowledge and expertise required to undertake the role. May include knowledge of the Bank’s products, services and policies)
Essential
* Degree in a relevant field
* Proven experience working in a market related / ALM or finance function
* Excellent numeric ability
* Expert user of Excel and other Microsoft Office packages
* Ability to reconcile and validate financial models (as defined by Group standards)
* Understanding of derivative instruments
Preferred
* Strong working knowledge of Convergence 4 / 5 software
* Accounting / regulatory knowledge, particularly IAS and Basell II
* Business experience in a Banking environment gained from a Finance, Product Management or Treasury front /middle office role.
* Proven experience working within an ALM capacity, or with ALM systems, in a major organisation
Personal qualities
* Capable of producing consistent accurate information to tight deadlines
* Capable of working effectively in a high pressure / variable working environment
* Clear thinker, and timely decision maker
Please send your resume to kapil@green-tree.in
|
Finance Jobs 