Role Purpose

To develop and build a range of Analytics and Data models to enable the Group to manage non trading interest rate risk, produce planning & budgeting information and assist with special projects e.g. Securitisation.

Key Role Deliverables

• Specify and support development of data required to deliver effective and comprehensive modelling
• Develop interest rate risk models analysing Net Interest Income (NII) and Economic Value of Equity (EVE) risk including selection of appropriate methodologies
• Embed rigorous processes and infrastructure supporting regular, accurate modelling
• Deliver regular and ad hoc interest rate risk reporting and scenario analysis
• Influence developing supervision/regulation of interest rate risk
• Support other work of the IRRM team covering interest rate and FX risks

Experience

• Experience of business intelligence design and management or related discipline
• Experience in designing and building Access & SQL database structures and VBA
• Experience in using ETL and OLAP reporting tools.
• Experience in implementing business critical systems and reporting
• Experience within a banking/treasury environment.
• Previous experience of complex financial modelling
• Extensive use of desk top modelling tools and databases
• Project delivery within tight deadlines.

Other significant role requirements

• Support the integration of ABN AMRO from a modelling perspective