Irrbb Jobs (NOW HIRING)

Title: IRRBB& ALMSubject Matter Expert

Level: AVP or VP

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 specialized 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 ensuring compliance with global regulatory standards.

Key Responsibilities

• IRRBB Strategy, Risk Measurement & Governance:

• Lead the development, enhancement, and maintenance of IRRBB measurement methodologies, including EVE, NII, NIMsensitivityand IRRBBstress testingframeworks.

• Ensure alignment of IRRBB practices with Basel/USstandards, regulatory expectations, and industry best practices.

• Manage and continuously improvebehavioralassumptions fornon-maturitydeposits (NMDs), loan prepayments, early redemptions, and product optionality.

• Support the design and calibration of risk appetite metrics, limits, monitoring processes, and escalation protocols.

• Partner with Treasury and senior management to assessinterest rateexposures and recommend hedging orbalance sheetstrategies.

• Model Development, Enhancement & Validation:

• Develop, implement, or enhance IRRBB quantitative models, including:

• NMDbehavioralmodels

• Prepayment / early redemption models

• Repricing and yield curve models

• Dynamicbalance sheetsimulations

• Replication portfolio methodologies

• Lead or support model documentation, performance monitoring,back testing, and benchmarking.

• Collaborate with Model Validation to address findings, strengthen model robustness, and ensureend-to-endmodel lifecycle compliance.

• ALM Analytics & BalanceSheet Insights:

• Perform advanced ALM analytics to support Treasury's strategicdecision making.

• Deliver insights on hedging strategies,balance sheetduration positioning, andinterest ratescenarios.

• Partner with Liquidity Risk, Capital Management, and Finance to assess interactions between IRRBB, liquidity, capital ratios, and earnings forecasts.

• Stakeholder Collaboration & Regulatory Engagement:

• Collaborate closely with Treasury, Market Risk, Finance, FTP, and IT to ensure consistent IRRBB frameworks and data integrity.

• Serve as a key point of contact during regulatory exams, audits, and internal risk reviews.

• Communicate model results, methodologies, and risk insights to senior management and committees.

• Data, Systems & Technology:

• Support enhancements to ALM/IRRBB systems (Risk engines, ALM platforms, 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.

Qualifications & Skills

• Education:

• Bachelor's or Master'sdegree in Economics,Mathematics,Statistics,DataScience,Engineering, or related fields.

• Professional certifications such as CFA, FRM, PRM are highly beneficial.

• Experience:

• Minimum 3+ years of experience in IRRBB, ALM, Market Risk, Treasury Risk, or related quantitative functions.

• Hands on experience developing, enhancing, or validating IRRBB models (EVE/NII, NMD, prepayment).

• Strong familiarity withUS &Basel IRRBB Standards,USregulatory expectations, and industry practices.

• Experience with ALM platforms or quantitative risk engines (e.g., QRM, Empyrean, Moody's, Kamakura,BancWare, internal models).

• Technical Skills:

• Strong quantitative and statisticalbackground.

• Proficiencyin Python, R, or similar languagesis stronglypreferred.

• Solid understanding ofinterest ratemodelling concepts (e.g.,term structuremodelling, optionality, convexity).

• Experience withvisualizationdata tools such as Power BI.

• Familiarity with FTP frameworks andbalance sheetsimulation engines is a plus.

• Soft Skills:

• Excellent communication skills, with the ability to explain technical concepts to nontechnical stakeholders.

• Strong analytical thinking,problem solvingabilities, and sound risk judgement.

• Ability to work effectively infast paced,cross functional, and highly regulated environments.

• Detail orientedwith the capability to manage multiple priorities simultaneously.

Why Join Us?

• Make a direct impact on the bank'sbalance sheetstrategy, risk profile, and regulatory compliance.

• Opportunity to build and influencecutting edgeIRRBB models and analytics.

• Collaborative, quantitative, and innovative working environment.

• Competitive compensation, benefits, andperformance-basedincentives.

The expected base salary ranges from $91,000 - $185,000. Salary offers are based on a wide range of factors including relevant skills, training, experience, education, and, where applicable, certifications and licenses obtained. Market and organizational factors are also considered. In addition to salary and a generous employee benefits package, including Medical, Dental and 401K plans, successful candidates are also eligible to receive a discretionary bonus.