Major responsibilities

• Support risk oversight of Market Risk in the Banking Book, including the measuring, identification, reporting and monitoring of Market Risk (Interest Rate Risk, Credit Spread Risk, Structural FX risk, and Pension Risk

• Review and rationalize EVE and NII reporting based on the QRM framework

• Support GTRM through the enhancement and back-testing of  behaviouralisation models and assumptions used in QRM, e.g. for prepayment and liabilities behaviouralization models

• Support work streams related to the ongoing enhancement of the Global Treasury Risk Management process and support the internal capital adequacy assessment process (ICAAP) by providing risk modelling expertise in line with industry best practice

• Analyze complex structured securities to understand the inherent risks of embedded optionalities

• Support Treasury Risk related work streams of future regulatory interactions like future ECB stress test exercises, ECB STE and IRRBB ITS reporting

• Monitor and challenge the development of portfolio optimization procedures/balance sheet strategy recommendations

• Report and assess the impact of emerging treasury risk regulations and ensure compliance with regulatory requirements

• Collaborating with other teams including the Model Validation Group, Global Treasury, Finance or Regulatory Reporting,

• Support senior management and communications with regulators

Education, Experience and Skills

• Familiarity with QRM, Intex and ADCo (ALM vendor software) is preferred

• 4-6 years of experience in Treasury, ALM or Market Risk activities, or risk management and regulatory concerns related to those disciplines. 

• Advanced degree in Economics, Finance, Statistics or related field  

• CFA, FRM or related candidates are a benefit

• Strong technical, quantitative, statistical aptitude/skills, with a focus on data analytics

• Self-starter with willingness to work in a fast-paced, high-energy level environment

• Knowledge of European and German regulation is a plus

• Strong verbal and written communication skills in English language, with ability to articulate effectively ideas and highly technical concepts to non-technical audiences and senior management

• Excellent understanding of financial instruments and the balance sheet of a global bank

• Advanced knowledge with Market risk at a banking organization

• Independent and critical thinking skills and strong financial acumen

• Team player with unquestionable integrity and ethical standards

About State Street

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