IRRBB SME - Principal Consultant
City, London, United Kingdom
Delta Capita
Location: London Role Level: Principal Consultant The IRRBB SME will play a critical role in managing interest rate risk within the banking book. This position involves providing expert guidance on IRRBB metrics, developing transfer pricing methodologies, and ensuring compliance with Basel regulations. The role requires strong collaboration with risk, finance, treasury, and technology teams to enhance risk measurement, reporting, and analytics capabilities. Key Responsibilities: Interest Rate Risk Management Analyze interest rate risk exposures using advanced modeling techniques, including balance sheet modeling, Net Interest Income (NII), Economic Value of Equity (EVE), Value at Risk (VaR), and stress testing. Regulatory Compliance & Reporting Ensure adherence to Basel III/IV IRRBB regulatory guidelines and internal risk policies. Support regulatory reporting efforts, including stress testing and ICAAP submissions. Risk Modeling & Analytics Implement and enhance IRRBB risk metrics. Develop and validate risk More ❯
Employment Type: Permanent
Salary: GBP Annual
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