Description

To set up and review appropriate risk metrics underpinning frameworks and or policies including that they are in line with best practice and international standards

Frameworks and governance

Maintain and enhance the ALM Risk Management framework, policies and standards and ensure adherence to principles.

Support the translation of board-approved risk appetite into limits and early warning indicators.

Support the requirements of ALCO, Group Risk Committees and Board Risk Committees.

ALM Risk metrics and compliance

Oversight of both internal and external regulatory metrics e.g. LCR, NSFR, maturity mismatches, funding concentration, PV01, EVE, NII sensitivity to ensure full compliance with existing regulatory reporting requirements, as well as with internal limits and thresholds.

Reviewing risk metrics to ensure they are in line with best practice and international standards and comply with BCBS 239 requiremen...