Vacancy Description
Title: IRRBB& ALM Subject Matter Expert
Level: Director
Location:New York, NY(on site)
Position Overview
We areseekinga highly skilled Interest Rate Risk in the Banking Book (IRRBB) &Asset–Liability Management (ALM) Subject Matter Expert with deepexpertisein interestrate risk measurement,behavioralmodelling,balance sheetanalytics, and regulatory risk management frameworks.The ideal candidate will also bringhands-onexperience designing, enhancing, or validating IRRBB quantitative models—including EVE/NII sensitivity,behavioralmodels (NMD, prepayments),repricingmodels, andstress testingtools.
This senior role will support the optimization of IRRBB governance, risk identification, measurement methodologies, risk appetite calibration, and model development. The successful candidate willsitwithinTreasury, and willinterface withALMexecution, Risk Management, Finance, and regulators while driving analytical enhancements and e...
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