Senior Specialist Market Liquidity Risk

The role:

This role will be part of the EMEA Market and Liquidity Risk team, part of the Treasury Risk function on corporate level, with a focus on BNY Mellon’s banking entities in EMEA and will be based in Wroclaw, Poland. The EMEA Market and Liquidity Risk team (based in London, Frankfurt and Wroclaw) is responsible for measuring, analysing, monitoring and reporting the market and liquidity risks of company’s Corporate Treasury and Markets activities in the EMEA region. The team also supports the regulatory ICAAP, ILAAP and stress testing processes for trading and banking book activities. The team interacts with the business and the business control partners, as well as company Risk Management in EMEA and at the corporate centre. This role will report into the EMEA Head of Market and Liquidity Risk, and will work closely with the Corporate Treasury function and Risk Management, Stress Testing and ICAAP, and Finance functions.Job Purpose: (What the job role involves)

The aim of the role is to provide professional, value added and efficient market and liquidity risk resource and service through the identification, analysis, monitoring and escalation of treasury market risk, IRRBB and liquidity risk exposures, resulting from the Corporate Treasury activity in EMEA. Responsibilities: (Key parts to the job role)

• Responsible for measuring and monitoring of Corporate Treasury market and liquidity risks versus limits on a daily basis according to prescribed policies.
• Investigate periodic changes in risk sensitivities, VaR, stress testing & PnL, provide explains to senior management.
• Provide analysis, challenge and review of the IRRBB process regarding EVE, NII and Capital as well as the Liquidity Stress Testing process (output and underlying assumptions).
• Produce scenario analysis and stress testing of non – traded market risk under various (behavioural) market conditions.
• Produce periodic market and liquidity risk reporting on legal entity level for senior management and committee review, and to support financial and regulatory disclosures.
• Perform annual reviews of the first line framework in Liquidity and IRRBB (models and processes).
• Train and mentor junior members of the team.

• The role requires a thorough understanding of financial markets; investment portfolio management: FX, fixed income and money market trading and investment instruments, and the detailed process by which market and liquidity risks are measured and monitored.
• Understanding of interest rate risk (re-pricing risk, yield curve risk, basis risk and optionality), credit spread risk and FX risk (net open, forward FX risk).
• Understanding of market risk / interest rate risk (behavioural) models and risk sensitivities.
• Excellent knowledge of MS Excel (including VBA).
• Attention to detail, inquisitive and a high level of accuracy.
• Ability to communicate effectively and persuasively (oral, written).
• Fluency in English, both conversational and written.

• Master’s degree in a numerate discipline required.
• Minimum of 3 years’ relevant experience desired.
• Treasury market risk, liquidity risk or asset and liability management experience desired.

• Full time contract of employment
• Competitive salary
• Health & Life Insurance
• Multisport card / Cinema Tickets / Nursery subsidiary
• Pension scheme
• Excellent opportunities for training, growth and professional development
• Opportunities to engage in diverse projects due to growth of business migrations
• A multitude of opportunities to get involved in additional charity projects
• A collaborative culture and great teams