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Senior QRM Specialist - IRRBB/CSRBB Risk Modelling
Job Posted: an hour ago
Salary: £ 700 - 800 / Day
Job Type: Contract
Location: City of London, London
Expire in: a month
Job Description
Quantitative Analyst / Model Developer - IRRBB & CSRBB Strategic Enhancement Initiative
📍 Location: London, Canary Wharf (Hybrid - 3 days in office)
🕒 Duration: 9 months (Full-time Contract)
🏢 Department: Enterprise Risk Management - Centralised Modelling, Analytics & Operations (CMAO)
About the Role
Seeking a skilled Quantitative Analyst / Model Developer to enhance IRRBB and CSRBB capabilities. Focus on developing, maintaining, and integrating advanced risk measurement models using QRM, aligning them with risk frameworks and governance.
Key Responsibilities
IRRBB / CSRBB Analytics & Implementation
Develop and maintain IRRBB and CSRBB measurements in QRM, covering Economic Value of Equity (EVE) and Net Interest Income (NII).
Ensure consistent metric generation across all products and portfolios for monitoring against management thresholds and limits.
Integrate IRRBB/CSRBB outputs into key risk frameworks, including stress testing, risk appetite, limit structures, and ICAAP capital discussions.
Quantitatively review results (sensitivities, drivers, stability) and validate alignment with the firm's balance sheet and market expectations.Governance & Oversight Deliverables
Document metrics production (QRM) and usage for Risk/Treasury.
Prepare materials for model validation, stress tests, audits, and senior management.
Resolve oversight challenges in methodology, scenario design, assumptions, and decision linkage.
Ensure complete CSRBB and IRRBB coverage and capture all risk drivers.Qualifications & Experience
Education: Master's or PhD in a quantitative field (Economics, Finance, Mathematics).
Experience: 5+ years in banking/financial services with exposure to IRRBB, CSRBB, ALM, Treasury, or Balance Sheet Risk.
Technical: Hands-on QRM experience (configuring models, running sensitivities/scenarios, interpreting EVE/NII).
Programming: Proficient in Python, R, or similar.
Risk Framework: Strong understanding of risk measurement's link to management actions (limits, stress testing, ICAAP).
Regulatory: Familiarity with EBA/ECB IRRBB & CSRBB requirements.
Communication: Exceptional written/verbal skills for documentation (validation, regulatory, senior committees).Why Join
This is an exciting opportunity to contribute to a high-impact strategic initiative within a leading financial institution. You'll work in a collaborative, expert environment, engaging directly with senior stakeholders across Risk, Treasury, and Enterprise Management functions.
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