As part of the ICAAP Methodology & Analytics team, you will be supporting with development, implementation and data analysis for risk controlling, with a focus on Pillar II and interest rate risk in the banking book. * Contribute to the development, implementation and maintenance of advanced risk measurement methodologies specifically for Interest Rate Risk in the Banking Book (IRRBB) and Credit Spread Risk in the Banking Book, including metrics like EVE (Economic Value of Equity) and NII (Net Interest Income) sensitivity. * Lead the design, implementation and monitoring of pricing and valuation models for interest rate derivatives, including centrally cleared derivatives and swaptions. * Act as the primary and for cross-functional, risk-related projects with significant IRR or derivative components (e.g., new product approvals, core banking system migrations, implementation of new hedging programs).
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