ALM Manager

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About Revolut

People deserve more from their money. More visibility, more control, more freedom. And since 2015, Revolut has been on a mission to deliver just that. With an arsenal of awesome products that span spending, saving, travel, transfers, investing, exchanging and more, our super app has helped over 20 million customers get more from their money. And we're not done yet.

As we continue our lightning-fast growth, we believe that two things are essential to continuing our success: our people and our culture. So far, we have more than 3000 people, based in 20 offices around the world, working on our mission. And we're looking for more. We want brilliant people that love building great products, love redefining success, and love turning the complexity of a chaotic world into the simplicity of a beautiful solution.

About The Role

We are looking for a highly motivated individual to join our Asset and Liability Management (ALM) team. The ALM function forms part of Group Treasury department and plays a crucial role in inter-alia measuring and monitoring the Interest Rate Risk in the Banking Book (IRRBB); informing the hedging decisions for IRRBB as well as other exposure such as Foreign Exchange (FX), managing the Net Interest Margin (NIM), running the Funds Transfer Process (FTP), and ensuring safeguarding is in place for e-money. You will also own various Treasury ALM procedures and work with the Technology teams to make any necessary enhancements to reports and processes.

What You’ll Be Doing

• Build out the framework required to effectively measure, monitor and manage the IRRBB and other banking book exposures such as FX.
• Implement an FTP mechanism to reward deposit generation and charge the marginal cost of funding to new asset origination. This would include the building of granular Liquidity Term Premium (LTP) pricing curves and behaviouralisation of deposits and loans.
• Manage and enhance the safeguarding process around e-money, that ensures all necessary funds are held in appropriate assets. This includes understanding and interpreting of regulatory requirements in relation to safeguarding
• Analyse the drivers of the NIM and develop approaches that can help stabilise future earnings
• Help to draft and enforce the ALM policies and standards covering aspects such as IRRBB and FTP
• Provide input into the ILAAP and ICAAP process as it pertains to ALM requirements
• Act a subject matter expert on ALM matters with business, but also with regulators as part of the supervisory review process.
• Interact with the Technology teams to help drive improvements in the ALM process e.g. automation, generating real-time data and enhancing Management Information (MI).
• Prepare and potentially present ALM MI to the Asset & Liability Committee (ALCO)
   

What You'll Need

• Strong Treasury management experience with emphasis on ALM working in a financial institution or FinTech firm
• Solid understanding of European banking regulations (for example BCBS368, BCBS239, FTP white paper guidelines, FCA E-Money regulations etc)
• Strong quantitative skills including model building and curve construction
• A track record of contributing analysis and explaining decisions to senior management
• Strong problem solving skills, you will be able to break down complex issues into their component parts, identifying the root cause and create elegant solutions
• Strong understanding of Treasury disciplines such as liquidity and capital management
   

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