Market Risk Manager – IRRBB, VP

Overview

As a Senior Treasury Risk Manager, you oversee second-line governance of balance sheet interest rate risk (IRR) to protect earnings and capital. You’ll set risk limits, validate models, and challenge the IRR framework across balance sheet activities. You collaborate with modeling teams and regulatory partners to ensure risk methodologies reflect events and new initiatives. You’ll communicate insights to senior management and support exams and regulatory requests. This role suits someone who combines deep IRR expertise with strong collaboration and communication.

Pay / Benefits

• flexible work-life support
• paid volunteer days
• vibrant employee networks
• inclusive development opportunities

Responsibilities

• Provide independent oversight of balance sheet IRR, including risk identification, limit establishment, measurement, monitoring, and reporting of risks.
• Assess overall accuracy and effectiveness of the IRR management framework.
• Participate in special projects and review business strategies to ensure alignment with risk appetite.
• Review and report balance sheet IRR profile and changes in a timely manner.
• Develop IRR limits, policies, guidelines, and procedures per regulatory and industry best practices.
• Improve IRR measurements and methodologies for new business initiatives and market changes.
• Oversee risk capture of client deposit behaviors and NII/EVE impact; recommend overlay if needed.
• Review CCAR and quarterly stress testing results and perform risk attribution analyses.
• Oversee underlying assumptions of QRM system implementations and their impacts on risk metrics.
• Prepare analyses and data for senior management, audits, regulators, and rating agencies; collaborate with Modelling & Analytics on risk metrics and models.
• Support risk/regulatory projects and remediation; drive assigned tasks independently.

Key requirements

• 7+ years in asset-liability management focusing on balance sheet IRR; regulatory exposure a plus.
• Undergraduate degree in Finance, Economics, Business or quantitative field; graduate degree or professional designations (CFA/FRM) a plus.
• Experience with US/EU banking book IRR regulatory requirements.
• Deep knowledge of financial instruments, balance sheet structure, hedging, fund transfer pricing, and NII/EVE sensitivities.
• Understanding of financial statements of financial institutions and impact of central bank policy changes.
• Knowledge of fixed income, FX products, and interest rate derivatives; hedging strategies for interest rate and FX risk.
• Strong verbal and written communication; ability to present to senior management.
• Strong analytical skills with large balance sheet data; proficiency with ALM systems; QRM experience a plus.
• Self-starter, critical thinker, high energy, organized, and ethical; able to work in fast-paced environment.

• strong communication
• analytical mindset
• team player
• QRM (asset liability management system)
• NII and EVE sensitivities
• CCAR and stress testing

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