The role covers:
– Interest Rate Risk Banking Book – EVE NII
– Counterpaarty Credit Risk – CVA, xVA
– Credit Spread Risk Banking Book
Experience with CVA and xVA calculations (for ICAAP) and a Quantitative background is a strong preference as well as Wrong-way Risk and Risk Appetite experience.
This hands on role is approximately 50% Financial Risk Management and 50% policy.