VP - Liquidity Planning & Analytics - Manama, البحرين - Arab Banking Corporation

وصف

Bank ABC seeks to recruit an VP – Liquidity Planning & Analytics in the Group Balance Sheet Management Department based in our Head Office, in Bahrain.

The VP – Liquidity Planning & Analytics will be responsible for the below:

• Structural liquidity planning and analysis of key liquidity metrics, develop ILAAP etc.
• Funding and structural liquidity planning, Funds Transfer Pricing, optimisation of Liquidity metrics, and maintain Contingency funding plans
• General activities relating to effective optimization of liquidity across ABC network

Responsibilities of the role:

Reporting to the Group Head of Balance Sheet & Liquidity Management (GBSM), the job holder will be required to:

Liquidity Planning

• Develop and implement the Bank's Liquidity planning and risk management framework to include the following:
  • Development and maintenance of the Bank's liquidity and funding plan
  • Preparing liquidity and funding projections including impact of business growth assumptions
  • Setting limits on intra-group funding lines and promote self-funded balance sheets across the Group
  • Defining tenor limits and portfolio caps for certain types of assets as appropriate
  • Develop B/S modeling tools to assess forward looking liquidity metrics to assist with the development of liquidity management actions
• Develop and maintain the Bank's Internal Liquidity Adequacy Assessment Process (ILAAP) to include the following:
  • Assess the Bank's internal liquidity position
  • Defining governance and management for the liquidity and funding risk
  • Incorporate elements of Liquidity stress tests and scenario analysis, as needed
  • Incorporating Contingency Funding Plan elements as needed
• Review business implications arising from regulatory changes on liquidity and funding.

Structural Liquidity Planning and Analytics

• Review of existing funding mix, cost of funds associated with business portfolios and provide suggestions for diversification of the Bank's funding mix;
• Review of liquid asset buffers, HQLAs, LCR and NSFR and recommend appropriate mix of liquid portfolio to optimize earnings drag while maintaining liquidity metrics
• Conduct depositor analysis and provide planning input in shaping the Bank's funding strategy;
• Develop secured funding limits and assess adequacy of pool of available collaterals;
• Undertake behavioral studies of non-maturity products and off balance sheet items
• Review and update FTP methodology and recommend the setting of appropriate liquidity premia in consultation with Group Treasury.

Monitoring and Reporting

• Monitor liquidity metrics on an ongoing basis and inform Head of GBSM in case of breaches. This will include the following:
  • Short term metrics – LCR, LSH, Intra-day limits, Stressed LSH/LCR etc.
  • Medium term metrics – NSFR, Funding concentration, L/D ratio, Refinancing profile etc.
  • Risk metrics – IRRBB, VaR, DV01 etc.
• Develop regular funding and liquidity reports in coordination with other departments (Corporate Treasury, Market Risk, Finance etc.) for required inputs to the funding and liquidity reports for purview of Liquidity sub-committee and GALCO
• Enhance monthly Funding & Liquidity reporting. Working closely with the other staff members to ensure the guidelines can be updated accurately and on a timely basis.
• Interact with Corporate Treasury and other country treasury departments on a regular basis to discuss liquidity and funding measures, data requests and projects.
• Participate in subsidiary ALCOs and provide Group guidance on all B/S, liquidity and funding issues.

Contingency Funding Plan

• Coordinate with Corporate Treasury, and Treasury & Financial Market risk and other departments as necessary in the development and maintenance of CFP to include:
  • Conducting liquidity fire-drills to assess adequacy of CFP
  • Periodic review to ensure relevance of CFP actions
  • Ensuring CFP is linked to the RRP document as a continuum

Fund Transfer Pricing (FTP)

• In conjunction with Corporate Treasury and Finance, develop, implement and enforce a transparent, consistent and harmonious of FTP and Liquidity premium (LP) policy across the Group to include:
  • FTP curve methodology
  • LP computation and governance
  • FTP rates application methodology

MIS via QRM or any other system such as RAy

• Provide inputs / suggestions for enhancement, implementation and maintenance of the QRM/RA system, in coordination with Treasury & Financial Market Risk (T&FMR) and Finance for ALM
• Ensure appropriate MI is generated and presented using the chosen system
• Assess system integrity tests on a periodic basis.
• Assist with liquidity and funding enhancement projects, development of daily cash flow monitoring, ad hoc stress testing, incorporation of financial forecast, and expanded legal entity liquidity testing.

Other Functions

• Assist Group Head of BSM in the overall administration and management of GALCO and the LSC to include preparation of agenda, meeting packs, compilation of analysis and maintenance of meeting minutes and action points.
• Prepare periodic presentations to Board on Group's liquidity and funding position and strategic balance sheet funding and liquidity issues;
• Develop and report ad-hoc/on demand MI requirement on structural liquidity position and performance;
• Monitor updates to key international regulatory requirements and leading practices related to liquidity risk management.
• Monitor subsidiary level liquidity positions and maintain oversight at subsidiary level for implementation of group liquidity management framework

Areas of Knowledge, Qualification and Experience

• 12+ years of progressive experience in financial risk management, treasury, investment banking and/or financial markets of which 3 years in a leadership capacity
• International experience combined with a global perspective within a multi-cultural environment
• Post-Graduate or Professional degree (ACA, MBA, M.S Finance or Accounting, Financial Engineering) combined with strong intellect, judgment and problem-solving skills
• Strong technical knowledge of ALM techniques and practices, term funding instruments, FTP etc.
• Treasury, financial markets and capital markets experience with Strong knowledge of Fixed Income, capital markets, and banking products.
• Strong technical knowledge to include capital and liquidity related regulations, liquidity optimization techniques and portfolio management.
• Strong quantitative, analytical, and technical skills and aptitude to build advanced financial models
• Ability to effectively explain analysis, both verbally and in writing, to others and translate analysis into business impact
• Strong business skills with a good understanding of commercial drivers.
• Balanced judgement and superior analytical skills, particularly related to market data
• Ability to think strategically and understand implications of external risk factors to firm-wide balance sheet, capital and liquidity position
• Ability to apply detailed risk assessments to new proposals
• Negotiation / influencing skills when dealing with business and support functions
• Complex regulations in different geographic locations
• Complex financial markets and products
• Ever-changing regulatory, tax and accounting developments.