Interest Rate Risk Manager recruitment

Essential Responsibilities

• Assist in analysis and production of periodic risk reporting, including change analysis and highlighting concentrations and other issues.

• Assist in compilation of ALCO and ERMC reports and presentation of residual interest rate risk in the business.

• Assist in due diligence efforts related to acquisitions/assess market risk impact of any proposed divestiture/sale of businesses

• Evaluate exception requests around market risk limits and Match Funding requests. Work with Treasury Finance and in-business Treasury teams to insure correct Transfer Pricing of Interest Rate risk.

• Work with in-business Risk and Treasury resources to assess the level of interest rate risks in the various businesses and reconcile against current business risk reports.

• Work with in-business Risk, Treasury and Finance teams to enhance reporting of Interest Rate risk. Work with Treasury Risk team to insure material risks are disclosed in the Corporate Treasury ALCO and ERMC.

• Assess level of embedded optionality and work with analytics group, the business and technology to developing tactical and strategic solutions to capture optionality.

• Risk management oversight includes economic and earnings at risk. Risk factor coverage includes broad definition of interest rate risk: yield curve risk, basis risk (tenor/index/x-ccy), reset risk and optionality.

Qualifications/Requirements

• Bachelor’s Degree in finance, accounting, economics, mathematics or related field. Strong quantitative skills required

• Prior experience in ALM or Risk Management in Regulated Commercial Banking Environment

• Minimum 4 years of experience in risk management or ALM

• Prior experience and strong knowledge of NII and EaR modeling for interest rate risk, and EVE-type modeling interest rate risk

• Knowledge and market risk expertise around one or more of the following commercial/retail banking products:

• Operating/Financing Leases

• Commercial Lending

• Credit Cards

• Deposit Modeling

• Commercial Real Estate Lending

• Residential Mortgages

• Knowledge and market risk expertise around vanilla interest rate derivatives, especially interest rate swaps

• Strong ability and knowledge of using Excel VBA for analysis purposes

Desired Characteristics:

• Prior experience with treasury management systems/applications is a plus

• Strong ability to interact cross-functionally

• Strong process orientation and analytical skills

• Proven problem solving skills and a change agent

• Experience in a matrix organization and global environment preferred

• Ability to analyze complex data and communicate in a clear and concise manner