IRRBB Manager

This is a fully remote position, open to applicants in California, +2 more states.

📋 Description

• Assist in selecting vendors and implementing the firm's cash flow engine / ALM system.

• Create, maintain, and enhance cash flow models for both assets and liabilities, which will facilitate risk monitoring and balance sheet forecasting.

• Generate and evaluate interest rate risk metrics, including Net Interest Income (NII) and Economic Value of Equity (EVE) across various scenarios.

• Design, document, and support behavioral assumptions such as prepayments, deposit decay, betas, and non-maturity deposit modeling.

• Collaborate with Finance and Risk teams to ensure consistency in modeling assumptions and outputs.

• Conduct scenario analysis and sensitivity testing to aid balance sheet strategy and risk management.

• Ensure data integrity, model precision, and adherence to internal policies and regulatory standards.

• Assist with model validation, audit, and regulatory review processes.

• Identify opportunities for enhancing automation, efficiency, and model sophistication.

⛳️ Requirements

• Bachelor’s degree in Finance, Economics, Mathematics, Engineering, or a related discipline (advanced degree preferred).

• Over 5 years of experience in bank ALM, Treasury, interest rate risk modeling, or quantitative finance.

• Comprehensive understanding of bank balance sheets, product offerings, and cash flow drivers.

• Experience in Net Interest Income (NII) modeling.

• Knowledge of Economic Value of Equity (EVE).

• Familiarity with interest rate risk frameworks.

• Understanding of cash flow hedging.

• Experience in developing and supporting behavioral models and assumptions, including those related to deposits, loans, and prepayments.

• Practical experience with ALM or cash flow engine platforms, such as QRM, Empyrean, BancWare, or similar systems.

• Strong quantitative and analytical skills; proficiency in Excel and/or programming languages (Python, SQL, R is a plus).

• Ability to convey complex modeling concepts to non-technical stakeholders.

🏝️ Benefits

• Competitive base salary.

• Equity options (stock options/RSUs).