Balance Sheet Risk Management - London, United Kingdom - Société Générale

Société Générale

Verified Company

London, United Kingdom

1 week ago

Posted by:

Tom O´Connor

beBee Recruiter

Description

Responsibilities:

Description of the Business Line or Department_ _

The Finance Division (DFIN) is in charge of:

Steering the financial and budgetary strategy of the Group, and its investment and development policy;
Measuring and analysing the profitability of the activities portfolio (clients, businesses, geographies) and the use of all resources (overheads, balance sheet, capital, liquidity, etc.);
Certifying Group accounts (accounting quality, valuation methods, orders options, etc., regardless of the production centres, visàvis DFIN, external auditors, regulators, etc.

;The team sits within DFIN and is in charge for the GBIS UK entities of:

1- Treasury dealing:

Short term cash management
External unsecured funding
Refinancing of internal business lines and SG group subsidiaries. Pricing of internal curves
Centralizing the excess cash optimization through the FX swap market for the SG Group
Management and steering of liquidity requirements (regulatory or internal)
Management of HQLA liquidity buffer
Management of intraday liquidity
Management of the market risks associated to the activity.
Ensure the SG access to the Sterling Monetary Framework and regular dialog with the Sterling Division of the Bank of England
Hedge of the structural risks
Act as a back up to Paris Treasury for management of EUR and USD and for Euribor contribution

***2- ALM and Balance sheet management

Owner of the ILAAP
Management of structural risks
Organize the ALCOs
Owner of stress testing framework and oversight of liquidity stress test models
Owner of FTP/CTP
Capital management

***3- Recovery and Resolution Plan

Maintain Recovery Plan
Maintain Resolution pack

***4- Capital Stress testing.

Design and produce capital stress testing
DFIN SPOC for Capital Adequacy Statement

This role reports to the UK Head of Treasury ALM

Summary of the key purposes of the role
The key goals of the Head of Balance sheet risk management is to:

Ensure LOD1 function for structural risk management of GBIS UK entities
Coordinate the ALCOs organization

Coordinate the ILAAP production and be the SPOC (Single Point of Contact) for DFIN and with other stakeholders in other departments for the ILAAP

Summary of responsibilities
The responsibilities of the Head of Balance Sheet risk management:

Oversee and organize the ILAAP process with the goal of fulfilling regulatory expectations within imposed dead lines.
Maintain the Liquidity Recovery Plan document and organize the dry run at least every year.
Ensure the annual review of all the policies related to liquidity owned by the department.
Prepare when relevant interactions with regulators, supervisors, Exco and Boards.
Oversee the daily/monthly reporting of the structural risks and liquidity risk of the balance sheet, analyse and explain the ALM indicators (NPV, IRRBB, NIM, GAP );
Monitor the ALM indicators versus granted limits and propose adequate actions to prevent any limit breached to ensure compliant with the ALM management framework;
Maintain liquidity stress testting framework and oversee models for liquidity stress tests
Review ALM models and indicators limits in annual basis and validation with Headoffice;
Be in charge of FTP/CTP methodology definition and calibration to adapt to commercial strategy and in synch with SG Group principles, and participate the pricing committees;
Monitor and analyse funding needs and treasury position, anticipate liquidity capacity by participating to analysis of new investment product and new business models and by realizing simulations.
Ensure secretariat for GBIS UK ALCOs;
Participate to project work as required for the contribution to SG Group projects or UK centric projects

perform the liquidity planning and stress testing of UK GBIS entities, meaning:

Project under base case and adverse scenario, the entity liquidity resources and requirement based on the financial and balance sheet projections.
Identify macro variables that are relevant to the entity liquidity modelling.
Oversight of liquidity stress testing scenarii,
Calibrate the liquidity required to face these scenarios
Execute the production of, and support the ongoing development of, the liquidity plan and stress testing deliverables in compliance of CRR regime regulatory requirements.
Coordinate with other ILAAP stakeholders, being the SPOC (Single Point of Contact) for the ILAAP in DFIN/UK and maintain relationship with other departments and risk
Support the team in charge of the daily liquidity management in order to better anticipate the impact of the models for the different liquidity metrics.
Provide Management and business partners with adhoc liquidity analysis and forecasts;

Profile required:

Competencies