ALM Regulatory Strategy - 6 Month Secondment

The role holder will sit within the ALM Regulatory Strategy team, which is responsible for the management of key regulatory constraints such as Pillar 2A and the Supervisory Outlier Test (SOT), regulatory interpretations and liaison, as well as overseeing all internal and external IRRBB reporting across the Group.

The team is responsible for delivering relevant and timely analysis on these metrics and advising entity teams on balance sheet optimisation and hedging strategies in unison with other Treasury’s centres of excellence.

The ideal candidate will have experience in risk management activities of the Treasury or Balance Sheet Management function. The ability to work as part of a team and add value to the development of the ALM function with a strong understanding of products and services offered by major banks, the inherent IRRBB risks, and how to manage these.

Skills that will be advantageous include previous experience of using QRM, direct working experience of Interest Rate Risk in the Banking Book, or a Degree/MSc in a quantitative discipline.

You may be assessed on key critical skills relevant for success in the role, such as risk and controls, change and transformation, business acumen, strategic thinking and digital and technology, as well as job-specific technical skills.

Purpose of the Role

To model, measure and manage the bank’s financial balance sheet to report and optimise its risk profile and profitability by analyzing the bank's assets and liabilities and developing strategies to manage interest rate risk on the banking book and other ALM risks.

Accountabilities

• Identification, modelling and measurement of the bank’s interest rate risk including the reporting of risks internally and externally.
• Development and implementation of strategies to manage the bank's interest rate risk in the banking book, including management of the bank's exposure to changes in interest rates and development of hedging strategies.
• Management of the bank's banking book balance sheet to optimize the allocation of assets and liabilities, and to ensure that the bank's liquidity, interest rate, and foreign exchange risks are appropriately managed within internal and external tolerance.
• Management of the bank's structural interest rate risk capital position to ensure compliance with regulatory requirements and to support the bank's growth and profitability objectives.
• Development and implementation of financial models to analyse the bank's balance sheet and to support decision-making processes related to asset and liability management.
• Support the development and pricing of customer products to align with the bank’s risk appetite and strategy in relation to IRRBB.
• Measurement of the capital requirements in relation to the interest rate and credit spread risk on the banking book.

Assistant Vice President Expectations

• Advise and influence decision-making, contribute to policy development and take responsibility for operational effectiveness. Collaborate closely with other functions/business divisions.
• Lead a team performing complex tasks, using well-developed professional knowledge and skills to deliver on work that impacts the whole business function. Set objectives and coach employees in pursuit of those objectives, appraise performance relative to objectives and determine reward outcomes.
• If the position has leadership responsibilities, People Leaders are expected to demonstrate a clear set of leadership behaviours to create an environment for colleagues to thrive and deliver to a consistently excellent standard. The four LEAD behaviours are: L – Listen and be authentic, E – Energise and inspire, A – Align across the enterprise, D – Develop others.
• For individual contributors, lead collaborative assignments and guide team members through structured assignments, identify the need for the inclusion of other areas of specialisation to complete assignments. Identify new directions for assignments and/or projects, identifying a combination of cross-functional methodologies or practices to meet required outcomes.
• Consult on complex issues, providing advice to People Leaders to support the resolution of escalated issues.
• Identify ways to mitigate risk and develop new policies/procedures in support of the control and governance agenda.
• Take ownership of managing risk and strengthening controls in relation to the work done.
• Perform work that is closely related to that of other areas, which requires understanding of how areas coordinate and contribute to the achievement of the objectives of the organisation sub-function.
• Collaborate with other areas of work, for business aligned support areas to keep up to speed with business activity and the business strategy.
• Engage in complex analysis of data from multiple sources of information, internal and external sources such as procedures and practices in other areas, teams, companies, etc., to solve problems creatively and effectively.
• Communicate complex information, which could include sensitive information or information that is difficult to communicate because of its content or audience.
• Influence or convince stakeholders to achieve outcomes.

All colleagues will be expected to demonstrate the Barclays Values of Respect, Integrity, Service, Excellence, and Stewardship – our moral compass, helping us do what we believe is right. They will also be expected to demonstrate the Barclays Mindset – to Empower, Challenge, and Drive – the operating manual for how we behave.