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