Director, Structural Market Risk

Reporting to the Head of Treasury Risk Management, this role is responsible for providing oversight of our client structural market risks.  This individual will need to develop a comprehensive understanding of the balance sheet and the embedded structural market risks along with the relevant existing and pending regulatory expectations in these areas.  Additionally, this individual will need to be fluent with industry leading practice as it pertains to risk management in these areas and be able to provide thought leadership and assist in building a risk management program covering these risks.    

 

This role requires significant interaction and a close working relationship with Corporate Treasury, the Business Lines, and other groups in the Market Risk Department.    

 

KEY ACCOUNTABILITIES:

 

  1. Develop understanding of our client  balance sheet and its inherent market risks and perform the 2nd line of defense responsibilities in this space.
  2. Assess the appropriateness and suitability of the risk limits and monitoring framework for structural market risks. 
  3. Highlight key risks and provided informed challenge in all relevant forums.
  4. Ensure the “no surprises” objective is met by fully identifying all aspects of the structural market risk profile.
  5. Assess appropriateness of the modeling assumptions used to model structural market risk (e.g. deposit lives, behavioral assumptions, valuation, etc.)
  6. Stay current with relevant regulatory requirements (e.g. interest rate risk in the banking book) and help ensure the risk management program is meeting regulatory expectations.  This will include interacting with regulators on a regular basis. 
  7. Develop understanding of data flows and systems used to calculate structural market risk and provide challenge as appropriate. 



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