BNY Mellon Careers
Senior Specialist, Market Liquidity Risk - 6 month Fixed Term Contract
Team Description: (Overview of the team)
This role will be part of the EMEA Market Risk function within the broader EMEA Risk Management and global Market Risk function with a focus on Treasury market risk and liquidity risk for the BNY Mellon entities in Europe and will be based in London. The EMEA Market Risk team is responsible for analysing, monitoring and reporting the market and liquidity risks of BNY Mellon’s Corporate Treasury and Markets activities in the EMEA region. The team also supports the ICAAP and ILAAP processes from a market risk, liquidity risk and IRRBB perspective. The team interacts with the business and the business control partners, as well as BNYM Risk Management in EMEA and at the corporate centre. This role will report into the EMEA Head of Market Risk and will work closely with local and regional Risk Management, ICAAP and Stress Testing, and Finance functions.
Job Purpose: (What the job role involves)
The aim of the role is to provide professional, value added and efficient market risk and liquidity risk resource and service through the identification, analysis, monitoring and escalation of market risk and liquidity risk exposures, resulting from the Corporate Treasury activities of BNY Mellon in EMEA, with a focus on the second line of defence monitoring and reporting, including analysis and further enhancement and development of the second line Interest Rate Risk in the Banking Book (IRRBB) and Liquidity Risk frameworks.
Responsibilities: (Key parts to the job role)
- Responsible for reporting and monitoring of Corporate Treasury market and liquidity risks on a daily and monthly basis according to prescribed Market Risk Policies.
- Involvement in the ICAAP, ILAAP & RRP processes.
- Review and challenge liquidity stress testing results.
- Responsible for scenario analysis and stress testing of IRRBB under various (behavioural) market conditions.
- Produce periodic market risk and liquidity risk reporting for senior management and committee review, and to support financial and regulatory disclosures.
- This function will support the development and implementation of policies and procedures to measure and monitor market risk and liquidity risks by legal entity and across the EMEA region.
Requirements; (what we are looking for)
- The role requires a thorough understanding of financial markets; investment portfolio management: FX, fixed income and money market trading and investment instruments, and the detailed process by which market risk and liquidity risks are measured and monitored.
- Knowledge of LCR, NSFR, RRP, CFP and ILAAP processes.
- Understanding of interest rate risk (re-pricing risk, yield curve risk, basis risk and optionality), credit spread risk and FX risk.
- Understanding of historical VaR models, DV01 & CS01 sensitivity, EaR, EVE, and other IRRBB and Capital metrics.
- Excellent knowledge of MS Excel, MS Access and MS Word (including VBA and/or SQL).
- Attention to detail and a high level of accuracy.
- Ability to communicate effectively and persuasively (oral, written).
- Fluency in English, both conversational and written.
- Master’s degree in a numerate discipline required.
- Proven relevant background in a similar role required
- Treasury market risk and liquidity risk experience from a second line of defence perspective
BNY Mellon is an Equal Employment Opportunity Employer.
Primary Location: United Kingdom-Greater London-London
Internal Jobcode: 85209
Requisition Number: 1815640