Senior Asset Liability Management Liquidity Risk CSDR IRRBB ILAAP ICAAP (f/m/x) Luxembourg

Fox Department

Posted on Jun 18, 2024 by Fox Department
Luxembourg, Luxembourg
IT
1 Jul 2024
Annual Salary
Contract/Project

On behalf of our client, an international financial service provider located in Luxembourg, we are looking for an external resource with skills and abilities as stated below:

Senior Asset Liability Management - Liquidity Risk CSDR IRRBB ILAAP ICAAP Consultant (f/m/x) Luxembourg -

Description:

  • Our client is looking for a Senior consultant with a broad understanding of CSDR, IRRBB, ILAAP and NET interest income, asset liability management

Tasks and responsibilities:

Background:

  • Currently, our clients treasury activities are documented within our clients banking Investment policy, our clients banking liquidity management policy.
    These documents provide business and regulatory background as well as investment and liquidity management limitations for the organization.

In addition to these policies our clients contingency funding plans, its trading book definition document, its Qualifying liquid resources documents are drafted to comply with additional regulatory requirements.

These documents are part of ILAAP package and requires regular annual/ad-hoc review and update.

  • Project - general expectation:
  • Project timeline: starting in July 2024- November 2024
  • Expected tasks: review and completely update, documentation architecture for documents/policies in scope.
  • Challenge limitations in a 1st line point of view, recommend enhancements particularly focusing on Net interest income optimization/stabilization.
  • Concrete expected additions:
    1. Add interest rate swaps as a new product to the investment policy, including hedge effectiveness testing procedure.
    2. Add FX NII hedge process
    3. Review and perform gap assessment on Group accounting and credit policies.
    4. Enhance investment limit framework (but not model updates)
  • Expected deliverables:
    1. Updated documentation architecture
    2. Updated documentation for our clients banking Investment policy, our clients banking liquidity management policy.

These documents provide business and regulatory background as well as investment and liquidity management limitations for the organization.

In addition to these policies our clients contingency funding plans, our clients trading book definition document, our clients Qualifying liquid resources documents
3. New Trading book definition document covering our clients and decommissioning of our clients Trading book definition document.
4. Hedge effectiveness calculation file, ideally linked to Bloomberg Real Time data

Mandatory skills and experiences:

A proven track record in similar treasury documentation review, challenge, and update projects with excellent communication and quantitative skills and a broad understanding of:

  • CSD-R, CSSF Circulars, CRR, ECB and EBA guidelines on ILAAP/ICAAP
  • Financial markets, particularly asset liability management, treasury activities, and customer cash behavior
  • Modelling prototyping as a tactical solution and proof of concept. (limited to, investment and IRS, decision making process and IRS hedge effectiveness procedure)

Additional Information:

  • Start date of assignment: 01.07.2024
  • Initial contract duration: 29.11.2024
  • Degree of project work: Full-time
  • Location: Luxembourg (40% remote work possible)

Please let us know if this position is of interest to you. We will be happy to send you further information and look forward to hearing from you!

Best regards,
Andy

GDPR:
You are interested in this project and would like to send us your CV?
Due to the General Data Protection Regulation (GDPR), we would like to ask you to give us your written consent to the permanent storage of your data in your email. We use your data exclusively for the purpose of our staffing activities.
Of course, you have the right to information, correction, blocking or deletion of your data at any time.
Template: I agree to the permanent storage of my data. I know that I have the right to information, correction, blocking or deletion and can revoke this consent at any time".


Reference: 2778084634

https://jobs.careeraddict.com/post/92091645

This Job Vacancy has Expired!

Fox Department

Senior Asset Liability Management Liquidity Risk CSDR IRRBB ILAAP ICAAP (f/m/x) Luxembourg

Fox Department

Posted on Jun 18, 2024 by Fox Department

Luxembourg, Luxembourg
IT
1 Jul 2024
Annual Salary
Contract/Project

On behalf of our client, an international financial service provider located in Luxembourg, we are looking for an external resource with skills and abilities as stated below:

Senior Asset Liability Management - Liquidity Risk CSDR IRRBB ILAAP ICAAP Consultant (f/m/x) Luxembourg -

Description:

  • Our client is looking for a Senior consultant with a broad understanding of CSDR, IRRBB, ILAAP and NET interest income, asset liability management

Tasks and responsibilities:

Background:

  • Currently, our clients treasury activities are documented within our clients banking Investment policy, our clients banking liquidity management policy.
    These documents provide business and regulatory background as well as investment and liquidity management limitations for the organization.

In addition to these policies our clients contingency funding plans, its trading book definition document, its Qualifying liquid resources documents are drafted to comply with additional regulatory requirements.

These documents are part of ILAAP package and requires regular annual/ad-hoc review and update.

  • Project - general expectation:
  • Project timeline: starting in July 2024- November 2024
  • Expected tasks: review and completely update, documentation architecture for documents/policies in scope.
  • Challenge limitations in a 1st line point of view, recommend enhancements particularly focusing on Net interest income optimization/stabilization.
  • Concrete expected additions:
    1. Add interest rate swaps as a new product to the investment policy, including hedge effectiveness testing procedure.
    2. Add FX NII hedge process
    3. Review and perform gap assessment on Group accounting and credit policies.
    4. Enhance investment limit framework (but not model updates)
  • Expected deliverables:
    1. Updated documentation architecture
    2. Updated documentation for our clients banking Investment policy, our clients banking liquidity management policy.

These documents provide business and regulatory background as well as investment and liquidity management limitations for the organization.

In addition to these policies our clients contingency funding plans, our clients trading book definition document, our clients Qualifying liquid resources documents
3. New Trading book definition document covering our clients and decommissioning of our clients Trading book definition document.
4. Hedge effectiveness calculation file, ideally linked to Bloomberg Real Time data

Mandatory skills and experiences:

A proven track record in similar treasury documentation review, challenge, and update projects with excellent communication and quantitative skills and a broad understanding of:

  • CSD-R, CSSF Circulars, CRR, ECB and EBA guidelines on ILAAP/ICAAP
  • Financial markets, particularly asset liability management, treasury activities, and customer cash behavior
  • Modelling prototyping as a tactical solution and proof of concept. (limited to, investment and IRS, decision making process and IRS hedge effectiveness procedure)

Additional Information:

  • Start date of assignment: 01.07.2024
  • Initial contract duration: 29.11.2024
  • Degree of project work: Full-time
  • Location: Luxembourg (40% remote work possible)

Please let us know if this position is of interest to you. We will be happy to send you further information and look forward to hearing from you!

Best regards,
Andy

GDPR:
You are interested in this project and would like to send us your CV?
Due to the General Data Protection Regulation (GDPR), we would like to ask you to give us your written consent to the permanent storage of your data in your email. We use your data exclusively for the purpose of our staffing activities.
Of course, you have the right to information, correction, blocking or deletion of your data at any time.
Template: I agree to the permanent storage of my data. I know that I have the right to information, correction, blocking or deletion and can revoke this consent at any time".

Reference: 2778084634

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