Market Risk (IRRBB Oversight)
selby jenningsNew York (NY)
About the role
A large American Investment Bank, who has significantly grown their Interest Rate Risk team over the last 12 months is looking to hire an AVP/VP level candidate on their IRRBB Management team to oversee Interest Rate Risk arising within their US Legal Entities. This individual will sit in the greater 2nd line Market Risk Management and provide Interest Rate Risk Oversight over the firm's activities in relation to the banking book, Investment Portfolio, markets activity, and lead initiatives relating to the firm's build out of their IRRBB Team. The firm is targeting individuals with 4+ years working in a IRRBB, Treasury, or ALM function. This firm is known for having some of the best culture and work life balance on the street, and prides itself on maintaining these standards.
Responsibilities:
Assist in the development of the firm wide Interest Rate Risk framework Maintain and develop Stress Tests to evaluate the effectiveness of the Interest Rate Risk Framework Monitor and evaluate various drivers in metrics like NII, EaR, EVS and EVEEngage with internal and external regulators and lead the firm's regulatory initiatives Perform quantitative analytics in response to Stress Tests such as NII forecasting, and deposit studies
Qualifications:
4+ years working in a 1LOD or 2LOD ALM/IRRBB function Familiarity with NII, EVE, EVS and other Interest Rate Risk Metrics Understanding and experience working on various IRRBB and Balance Sheet Projection models Ability to work with large data sets, and perform quantitative analysis Knowledge of Traded & Banking Products Deep understanding of US Regulations for Interest Rate Risk, Balance Sheet Management, and Capital Adequacy
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