Required skills
Nice to have:Risk Confidence
Languages: French
Job description
Participate in second-level control (LOD2) for interest rate (IRRBB, CSRBB) and liquidity risks. This involves counter-calculation, independent review of rate indicators, production of analyses, sensitivity testing, and backtesting.
Project overview
You will participate in second-level control (LOD2) work on interest rate (IRRBB, CSRBB) and liquidity risks:
Deliverables
Profile sought
Work environment
- Counter-calculation and independent review of rate indicators (VAN, EVE, NII/MNI) at each closing
- Production and exploitation of EVE, NII analyses, projection of liquidity gaps, LCR, and NSFR
- Sensitivity testing of assumptions and runoff conventions
- Backtesting of management decisions (hedging, investments…)
- Proposal and implementation of new analyses
- Extraction of ALM data using SQL (Risk Confidence)
- Counter-calculations and IRRBB and CSRBB analyses, documented
- Proposed analyses, argued and prioritized
- Notes and presentation materials for committees
- Skills transfer to the team
- More than 5 years of experience in ALM, including IRRBB calculations
- Proven expertise in ALM indicators: EVE, NII, rate and liquidity gaps, LCR, NSFR, CSRBB
- Good knowledge of the regulatory framework (EBA/GL/2022/14, CRR/CRD)
- Mastery of SQL and the Office Suite (Advanced Excel, PowerPoint)
- Experience with Risk Confidence would be a plus
- Extraction of ALM data using SQL
Project details
- Start: ASAP
- Duration: 6 mois renouvelable
- Remote: hybrid
- Location: Paris, France, FR
- Rate: 50-109 EUR/h
- Languages: French
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