ALM Manager - Modelling

ALM/IRRBB Modelling

3-6 Month Contract

Daily Rate

London - Flexible hybrid working (no strict requirement)

Role Overview

We are recruiting for an experienced ALM/IRRBB modeller to support developing, enhancing, and maintaining key Asset Liability Management models.

Responsibilities

• Behavioural Modelling: Creating models for customer deposits, loan prepayments, and drawdown patterns to forecast NII and economic value impacts
• Liquidity Outflow Modelling: Building robust models for liquidity outflows under stress, ensuring compliance with UK, US, and EU regulations
• Regulatory Compliance: Ensuring all models meet the latest standards from relevant banking authorities.
• Scenario Analysis: Performing stress testing to assess resilience to market, liquidity, and interest rate risks.
• Collaboration: Working closely with Treasury, Risk, and Finance teams.

Required Skills And Experience

• 5+ years experience in Treasury Risk / ALM with proven modelling experience
• Good technical skills with Treasury systems and coding languages (GSuite is a huge plus)
• Good understanding of US (e.g., FRB, OCC) and/or EU (e.g., EBA, ECB) banking regulations.
• Proactive and ability to adapt, ability to work well under pressure and think on your feet.
• Experience developing and validating complex financial models.
• Excellent at explaining complex quantitative concepts.

Unfortunately, this position does not offer sponsorship to work in the UK.