ALM Consultant

Project overview

To support the evolution of its LOD2 controls on financial risks, the Financial, Climate, Country Risks & Model Validation Department is strengthening its team with an asset liability management consultant for a maximum period of 6 months. He/She will participate in LOD2 work on interest rate risks (IRRBB, CSRBB) and liquidity risks, with the following missions:

• CONTEXT & OBJECTIVE OF THE MISSION:
• The counter-calculation and independent review of interest rate indicators (VAN, EVE, NII/MNI) at each closing;
• The production and exploitation of analyses developed on EVE, NII indicators, liquidity gap projections, LCR and NSFR;
• Sensitivity testing of assumptions and runoff conventions;
• Backtesting of management decisions (hedging, investments…);
• The proposal and implementation of new analyses.
• EXPECTED DELIVERABLES:
• Extract of ALM data under SQL (RisK Confidence);
• Counter-calculations and analyses of IRRBB (ΔEVE, ΔNII) and CSRBB indicators (with documentation);
• Proposals for new analyses, argued and prioritized;
• Notes and presentation materials for committees;
• Skills transfer to the team;

Project details

• Start: flexible
• Remote: hybrid
• Location: Paris, France, FR
• Languages: French