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
Numbers & Facts
Location
New York, NY
Skills
Analysis Skillsunmatched
Asset Managementunmatched
Automationunmatched
Balance Sheetunmatched
Banking Servicesunmatched
Benchmarkingunmatched
Best Practicesunmatched
Calibrationunmatched
Continuous Improvementunmatched
Cross-Functionalunmatched
Data Qualityunmatched
FTP (File Transfer Protocol)unmatched
Financeunmatched
Financial Analysisunmatched
Financial Liabilityunmatched
Forecastingunmatched
Hedge Fundsunmatched
Interest Ratesunmatched
Internal Auditunmatched
Liquidityunmatched
Metricsunmatched
Model Validationunmatched
Performance Analysisunmatched
Performance Modelingunmatched
Process Improvementunmatched
Production Systemsunmatched
Quality Managementunmatched
Regulationsunmatched
Regulatory Complianceunmatched
Replication and Remote Mirroringunmatched
Riskunmatched
Risk Managementunmatched
Stress Testingunmatched
Support Documentationunmatched
Treasuryunmatched
Treasury Managementunmatched
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