Market Risk/ALM Consultant

Market Risk/ALM Consultant

Finalyse Group

Brussels, Belgium

As a Market Risk/ALM Consultant, you will join our Risk Advisory practice, working on challenging projects for leading financial institutions. You will contribute to the development, deployment, and validation of risk management solutions, with a particular focus on Interest Rate Risk in the Banking Book (IRRBB), Asset & Liability Management (ALM), and behavioural modelling of Non-Maturity Deposits (NMDs).

RESPONSIBILITIES

• Developing and enhancing ALM, IRRBB and CSRBB models and methodologies;
• Supporting banks in the implementation of regulatory frameworks (Basel III, IRRBB, CSRBB, FRTB);
• Assessing the adequacy of systems, data quality, information flows, and controlling for regulatory reporting and disclosure;
• Performing model validation and providing adequate recommendations to improve bank’s models and to strengthen governance and controls;
• Contributing to stress testing and sensitivity analysis (EVE, NII);
• Designing and testing analytical tools and applications for liquidity risk measurement (LCR, NSFR, intraday liquidity) and reporting;
• Reviewing of systems in place for performing the Internal Liquidity Adequacy Assessment Process (ILAAP) exercise and its governance;
• Reviewing the robustness, effectiveness of the methodology, assumptions, documentation, end-to-end process flow, and governance related to fund Transfer Pricing (FTP) and Liquidity Transfer Pricing (LTP);
• Conducting workshops with business users, gathering business requirements, defining both functional & technical requirements, and building the quantitative models.
• Building and maintaining close relationships with clients;
• Participating in business development initiatives and internal projects;
• Raising and promoting the company’s image in the financial industry through publications in the Regbrief and participation in external conferences and networking events;
• International exposure is part of this role: you should be open to short- and medium-term assignments abroad (e.g., within Europe or the Middle East).

REQUIREMENTS

• Master’s Degree in econometrics, physics, mathematics, engineering or applied economics;
• 3-5 years of experience in Financial Services industry, preferably in risk management or ALM departments of banks, or in consultancy;
• Proven hands-on experience with ALM and IRRBB/CSRBB frameworks, including NMD modelling and behavioural analysis. You are at ease with scenario & sensitivity analysis (EVE & NII risk metrics) and valuation methodologies;
• Hands-on experience in the following areas: model development or model validation, valuation models for financial instruments etc.;
• Knowledge of market risk or liquidity related regulations: FRTB, CCR/CVA, LCR, NSFR;
• Proficiency in Python, R, or MATLAB for data analysis and model implementation;
• Ability to work autonomously in a result-oriented environment;
• Very good communication, writing and presentation skills in English; other EU languages are an asset;
• Readiness to travel throughout Europe and in the Middle East.