Posted on Sep 3, 2019 by Global Resourcing
Our banking client wants to roll out one standard implementation for Interest Rate Risk and Forecasting in the banking books. A new Interest Rate Risk in Banking Book (IRRBB) regulation has been published by EBA in 2015 which implies new policies, governance, processes and enhanced ALM capabilities to be implemented consistently throughout the Bank. The EBA guidelines are effective in two stages, stage 1 end 2016 and stage 2 end 2018. QRM, a quantitative risk management-tool, is the target platform to comply with IRRBB regulation. The implementation of QRM has been accelerated by the Bank's committee.
Supporting and enabling QRM business processes are achieved through a standardized approach. The goal of the program is to roll-out the standardized QRM implementation to multiple operating countries for the bank. The standard approach aims to achieve a single data sourcing framework, a single data staging area, a standardized QRM setup, predefined level of granularity and predefined market data. QRM standardization in that sense imposes limitations to flexibility for locations, but maximizes support, maintenance and operational efficiency.
Within the QRM role out program one team is responsible to set-up the standard database and the roll-out of QRM in various locations. Another team is responsible for the setup of all new products and models and scenarios. This later team has an opening.
The objective is to enhance the banks configuration for the QRM roll-out in a location such that it enables to report and calculate the core Risk figures in QRM (NII- and Furthermore the new hire will help the QRM team by sharing in depth knowledge on QRM configuration, thereby ensuring the implementation of (amongst others) Replication and IRRBB reporting in QRM, as well as assisting the team with ad-hoc solutions to practical problems that arise during implementation of QRM.
Tasks to be performed
Configuration of QRM implementation of target behavioral models, IRRBB scenarios and hedging replication.
- Configure new setup of models in QRM
- execute configuration fit/gap analyse on new functionality (either from IRRBB or Rolling forecast)
- investigate remediating actions to close gaps
- coordinate resulting data required functional transformations.
- The end criterion is that output figures for reporting are covered in full and signed off by the users.