Treasury Risk Analyst - ALM / Balance Sheet

This role sits within the second-line Risk function of a UK-regulated international bank and supports the independent oversight and challenge of Treasury and balance-sheet related risks.

The position focuses primarily on Asset & Liability Management (ALM) and Interest Rate Risk in the Banking Book (IRRBB), alongside liquidity, foreign exchange and capital-related risk considerations. The role works closely with Treasury, Finance and senior Risk stakeholders and contributes to the effective governance of balance-sheet risk within the bank's risk appetite and regulatory framework.

Organisational Context

The bank operates a diversified UK balance sheet encompassing corporate lending, interbank activity, treasury investments and customer deposits. Treasury activity is conducted within a clearly defined risk appetite and subject to regulatory oversight by the Prudential Regulation Authority and the Financial Conduct Authority.

The Treasury Risk function provides second-line oversight, review and challenge of Treasury activities, supporting senior management, committees and the Board through objective risk analysis, governance and reporting.

Principal Responsibilities

The successful candidate will support the Treasury Risk team in delivering effective second-line oversight across balance-sheet risks, including:

• Supporting the oversight and challenge of ALM, IRRBB, liquidity and foreign exchange risk, ensuring Treasury activity remains within approved risk appetite.
• Contributing to the development, maintenance and embedding of the Treasury Risk Management Framework and associated policies and controls.
• Performing ALM and IRRBB analysis, including interest rate sensitivity analysis, repricing assessments and review of behavioural assumptions.
• Supporting liquidity risk management activities, including analysis of LCR, NSFR and internal liquidity stress testing.
• Enhancing the quality, accuracy and timeliness of risk management information, including material prepared for ALCO, senior management, the Board and regulators.
• Providing oversight and review of Treasury-owned models and tools, including liquidity models, cash-flow forecasting and funds transfer pricing.
• Supporting the preparation and review of key prudential documentation, including ILAAP, ICAAP, Recovery Plan and Risk Appetite Statement.
• Working collaboratively with Treasury and other functions while maintaining independence of judgement as a second-line control function.
• Applying analytical techniques, automation and programming where appropriate to improve efficiency, insight and control.

Candidate Profile

Candidates should be able to demonstrate the following:

• Experience within Treasury Risk, ALM, Liquidity Risk, Market Risk or Balance Sheet Risk in a banking, consultancy or regulated financial services environment.
• A sound understanding of IRRBB (EVE and/or NII) and liquidity risk concepts, with exposure to modelling and stress-testing methodologies.
• Familiarity with prudential risk frameworks, including ILAAP, ICAAP and regulatory stress testing.
• Ability to interpret and challenge model outputs and assumptions, rather than relying solely on production teams.
• Strong analytical capability; advanced Excel skills essential, with exposure to Python, R, SQL or similar tools advantageous.
• Ability to communicate technical risk matters clearly to non-technical stakeholders.
• Degree-educated in a quantitative discipline; professional risk or treasury qualifications are beneficial but not essential.

Hybrid working model offered with a strong total compensation package.