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AVP / VP Interest Rate Risk & Balance Sheet Analytics

Madison-Davis

New York, NY

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JOB DETAILS
SALARY
SKILLS
Analysis Skills, Asset Management, Automation, Balance Sheet, Banking Services, Benchmarking, Best Practices, Calibration, Continuous Improvement, Cross-Functional, Data Quality, FTP (File Transfer Protocol), Finance, Financial Analysis, Financial Liability, Forecasting, Hedge Funds, Interest Rates, Internal Audit, Liquidity, Metrics, Model Validation, Performance Analysis, Performance Modeling, Process Improvement, Production Systems, Quality Management, Regulations, Regulatory Compliance, Replication and Remote Mirroring, Risk, Risk Management, Stress Testing, Support Documentation, Treasury, Treasury Management
LOCATION
New York, NY
POSTED
21 days ago

Title: AVP / VP Interest Rate Risk & Balance Sheet Analytics

Office Status: Onsite New York, NY

Base Salary: $91k $185k + Bonus

ABOUT THE ROLE

This AVP or VP-level opportunity sits within the Treasury function of a well-established financial institution, serving as a specialized subject matter expert in Interest Rate Risk in the Banking Book and Asset-Liability Management. The role offers direct impact on the bank's balance sheet strategy, risk profile, and regulatory compliance spanning model development, behavioral modeling, EVE/NII sensitivity analysis, and IRRBB governance enhancement. It's an ideal fit for a quantitatively strong risk professional with hands-on IRRBB or ALM model experience who is equally comfortable driving analytical innovation and engaging with regulators, senior management, and cross-functional stakeholders in a fast-paced, highly regulated environment.

RESPONSIBILITIES
  • Lead the development, enhancement, and maintenance of IRRBB measurement methodologies including EVE, NII, NIM sensitivity, and stress testing frameworks;ensure alignment with Basel/US standards, regulatory expectations, and industry best practices
  • Manage and continuously improve behavioral assumptions for non-maturity deposits, loan prepayments, early redemptions, and product optionality;support design and calibration of risk appetite metrics, limits, and escalation protocols
  • Develop, implement, or enhance IRRBB quantitative models including NMD behavioral models, prepayment and early redemption models, repricing and yield curve models, dynamic balance sheet simulations, and replication portfolio methodologies
  • Lead or support model documentation, performance monitoring, back-testing, and benchmarking;collaborate with Model Validation to address findings and ensure end-to-end model lifecycle compliance
  • Perform advanced ALM analytics to support Treasury's strategic decision-making across hedging strategies, balance sheet duration positioning, and interest rate scenarios
  • Partner with Treasury and senior management to assess interest rate exposures and recommend hedging or balance sheet strategies;collaborate with Liquidity Risk, Capital Management, and Finance to assess interactions between IRRBB, liquidity, capital ratios, and earnings forecasts
  • Serve as a key point of contact during regulatory examinations, audits, and internal risk reviews;communicate model results, methodologies, and risk insights to senior management and committees
  • Support enhancements to ALM/IRRBB systems including risk engines, ALM platforms, and FTP engines;drive improvements in data quality, scenario management, and reporting automation
  • Work with quantitative and technology teams to implement new models and analytics into production environments
  • Partner with Treasury, Market Risk, Finance, FTP, and IT to ensure consistent IRRBB frameworks and data integrity across the organization

About the Company

M

Madison-Davis

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