Interest Rate Risk of the Banking Book Analyst

Interest Rate Risk of the Banking Book Analyst

The jobholder is responsible for supporting Interest Rate Risk of the Banking Book for Mexico. Self-reliance and the ability to work unaided are essential to the role. The jobholder also requires the capacity to identify errors in the processes and should have clear logic and structured thinking to be responsible for the Business as Usual process and reporting for HBMX. The type of work requires initiative and drive.

Activities

1. Ensure that the structural interest rate risk in the banking book is appropriately approved, valued, and controlled within approved limits.
2. Ensure the correct execution and distribution of all reports implemented by Global Treasury for the assessment of interest rate risk in the banking book and the completeness of the Risk Buy-in process.
3. Estimation of Liquidity Premium and Liquidity Recharge distribution along the business lines.
4. Estimation of break funding cost across all products.
5. Monitor behaviouralisation models for assets and liabilities.
6. Work with Business Lines to understand the impacts of business initiatives on IRRBB management.
7. Responsible to MX and LAM Head of Global Treasury; other functions (Liquidity and Funding, Recovery and Resolution Planning, Capital Management); Markets Treasury; Second Line of Defence and all Finance departments.
8. Provide insight to Bank’s Senior Management through management information and make recommendations to support the effective management of interest rate risk in the banking book.
9. Maintain and develop productive relations with other Finance teams and Business teams.
10. Collaborate with onshore and offshore teams.