Market and Liquidity Risk

Luxembourg (LU)
€100,000 - 125,000
29 Aug 2019
28 Sep 2019
Contract Type
Contract, Permanent
Full Time

One of the largest Banks in Luxembourg is looking to add to their Risk Control team. 


Strengthen the Bank’s Market and Liquidity Risk Control team on the following topics:

● Liquidity risk ● IRRBB/ALM(*)

● Valuation models of financial instruments (*)  has a dedicated ALM-unit, which is in charge of interest and liquidity risk management Assignments

● Design, development and monitoring of liquidity risk metrics (e.g. internal stress test, LCR, NFSR, ALMM ,…)

● Monitoring of intra-day liquidity

● Design and implementation of stress tests for intra-day liquidity

● Challenge of the methodology and hypothesis used by ALM to manage IRRBB (opinion on limits, models, procedures, …

● Assess the efficiency of hedging techniques

● Contribute to the valuation of financial instruments in a dedicated team

● Design and development of internal and regulatory stress testing for market risk and liquidity risk

● Analysis and implementation of new regulatory requirements (e.g. Basel IV) Requirements

● University degree in mathematics /statistics or finance ● Banking experience of at least 20 years

● Good knowledge of IRRBB management and/or valuation models of financial instruments and/or liquidity risk management ● Highly developed analytical skills and capacity for synthesis

● A positive and constructive attitude, especially in dealing with the first line of defense

● Team-player, with a high degree of autonomy in the performance of assigned tasks

● In-depth knowledge of quantitative / statistical techniques used for market and liquidity risk management

● Knowledge of data management software and techniques (e.g. SQL)

● Fluent in English (French being an advantage), both in speech and writing