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Interest Rate Risk Libor Transition Analyst

  • Location


  • Sector:

    Financial Services and Banking

  • Job type:


  • Contact:

    Stuart Grimmond

  • Contact email:

  • Salary high:


  • Salary low:


  • Published:

    about 1 year ago

  • Duration:

    4 Months- Likely to extend

  • Expiry date:


An SME consultancy partner is looking for an Interest Rate Risk Libor Transition Analyst to support the LIBOR transition team, and ensure that the impacts on IRR, of LIBOR being phased out are analyzed and documented.

Responcibilities include:

• Supporting, and LIBOR transition work for Interest Rate Risk in the Banking Book

• Analyzing the impact of LIBOR Transition on the IRRBB infrastructure and calculations for treasury DV01, GAP and Cash Flow IRR metrics

• Identify the impact of existing LIBOR trades on the current IRR metrics and understand how these trades will be transitioned to a post LIBOR benchmark and the impact on the IRR metrics of that transition • Identify the impact on forecasted trades in RUBY of changing the benchmarks

• Work with the technology groups to document the implications for LIBOR transition on the infrastructure and assist in the development a plan to manage the LIBOR transition which is consistent and integrated with the upstream data sourcing processes e.g. Genesis/Product Processors

• Work with the infrastructure teams to test the required infrastructure to ensure that the Treasury DV01, Gap and Cash Flow IRR metrics are ready to support the post LIBOR transition benchmarks

This will be a 4 month contract but is likely to be extended. The end client will only take Umbrella contractors.