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- Definition of solution methodology and design for compliance with internal and regulatory policies of Interest Rate Risk in Banking Book (IRRBB).
- Development of quantitative solution ensuring completeness, accuracy, scalability, and operationally efficient.
Document the gaps when applicable and ensure follow up until closure.
- Coordinate with Regional Analytics and delivery team to ensure proper training and embedment of developed tools for Treasury users.
- Ensure adherence to model governance, if applicable.
- Maintain regular communication in adherence to communication framework.
The objective of this role is to provide support on the overall implementation of Interest Rate Risk in Banking Book (IRRBB) policy in Balance Sheet Management (BSM) vendor platform and support the embedment of IRRBB metrics for Treasury users. The candidate is expected to conduct detail analysis on understanding IRRBB methodology and validate the available calculation functionalities and result in the platform to ensure compliance to internal and regulatory IRRBB policy and ensure the standardisation of the implementation. This candidate is also expected to write up the implementation methodology document including gaps (data/calculation) to be followed up until closure.