BNY Mellon powers individuals and institutions to succeed in the global economy providing investment management, investment services and wealth management. BNY Mellon is the corporate brand of The Bank of New York Mellon Corporation (NYSE: BK).
With a dedicated business presence on six continents and in 35 countries, BNY Mellon delivers global scale at the local level.
The Global Delivery Centre in Wroclaw is a growing location, predominately providing support services to BNY Mellon entities in the areas of fund accounting and investment operations.
This role will be part of the International Treasury Risk team, part of the Treasury Risk function on corporate level, with a focus on BNY Mellon’s banking and capital markets entities in EMEA, NA, APAC and LATAM and will be based in Wroclaw, Poland. The International Treasury Risk team (based in London, Frankfurt and Wroclaw) is responsible for measuring, analysing, monitoring and reporting the IRRBB, portfolio and liquidity risks of BNY Mellon’s Corporate Treasury activities. The team also supports the ICAAP, ILAAP and stress testing processes for the banking book activities. This role will report into the Head of International Treasury Risk, as well as the functional lead on corporate level, and will work closely with the regional and global Treasury Risk functions and the Corporate Treasury function as well as the Legal Entity Risk Management, Capital Stress Testing, and Finance functions.
The aim of the role is to provide professional, value added and efficient treasury market risk and liquidity risk resource and service through supporting the processes for identification, analysis, monitoring and escalation of IRRBB, portfolio risk and liquidity risk exposures, resulting from the Corporate Treasury and Portfolio Management activity of BNY Mellon in EMEA, NA, APAC and LATAM.
Responsibilities: (Key parts to the job role)
• Responsible for measuring and monitoring of Corporate Treasury market and liquidity risks versus limits on a daily basis according to prescribed policies.
• Investigate periodic changes in risk sensitivities, VaR, stress testing & OCI, provide explains to senior management.
• Provide analysis, challenge and review of the IRRBB process regarding EVE, NII and Capital as well as the Liquidity Stress Testing process (output and underlying assumptions).
• Produce scenario analysis and stress testing of non – traded market risk under various (behavioural) market conditions.
• Produce periodic market and liquidity risk reporting on legal entity level for senior management and committee review, and to support financial and regulatory disclosures.
• Support the continued review of the Corporate Treasury framework in Liquidity, Capital and IRRBB (models and processes).
Requirements; (what we are looking for)
• The role requires a thorough understanding of financial markets; investment portfolio management: FX, fixed income and money market trading and investment instruments, and the detailed process by which market and liquidity risks are measured and monitored.
• Understanding of interest rate risk (re-pricing risk, yield curve risk, basis risk and optionality), credit spread risk and FX risk.
• Understanding of liquidity risk and interest rate risk (behavioural) models, sensitivities and metrics.
• Excellent knowledge of MS Excel and Tableau.
• Programming and database skills desired (e.g. VBA, Python, R, SQL).
• Attention to detail, inquisitive and a high level of accuracy.
• Ability to communicate effectively and persuasively (oral, written).
• Fluency in English, both conversational and written.
• Master’s degree in a numerate discipline required.
• Minimum of 3 years’ relevant experience desired.
• Treasury market risk, liquidity risk or asset and liability management experience desired.
• Full time contract of employment
• City Centre locations close to main railway station and flexible working arrangements
• Flexible benefits package, including life and medical insurance, health screening, fitness discount programme, employee assistance program
• Award-winning Wellbeing Program supporting you with your unique health and wellbeing needs
• Pension scheme
• On-site childcare and a parental buddy programme
• Exciting opportunities for career and global mobility
• Diverse and inclusive environment
• Employee Referral Program
• Recognition programmes
• A multitude of opportunities to get involved in charity projects and Employee Resource Groups (ERGs)