Interest Rate Risk Analyst - Market Risk, Assistant Vice President

In this role you will support the Global Treasury Risk Management function to oversee Market Risk in the Banking Book. You will work with cross-functional teams to measure, monitor, and report risks, enabling sound risk management and regulatory compliance. You’ll enhance behaviouralisation models for prepayment and liabilities and contribute to ICAAP processes. This position offers exposure to complex securities and regulatory initiatives within a global bank environment, with a clear impact on balance sheet strategy and risk controls.

• hybrid work model
• paid volunteer days
• employee networks
• flexible work-life support
• global exposure
• professional development opportunities

• Support risk oversight of Market Risk in Banking Book including measurement, reporting, and monitoring of Market Risk (Interest Rate Risk, Credit Spread Risk, Structural FX risk, Pension Risk)
• Review and rationalize EVE and NII reporting based on QRM framework
• Assist enhancement and back-testing of behaviouralisation models and assumptions used in QRM (e.g., prepayment and liabilities behaviouralization)
• Contribute to ongoing enhancement of Global Treasury Risk Management processes and ICAAP by providing risk modelling expertise
• Analyze complex structured securities to understand embedded optionalities risk
• Support work streams for regulatory interactions (ECB stress tests, ECB STE, IRRBB ITS reporting)
• Monitor and challenge portfolio optimization procedures and balance sheet strategy recommendations
• Report and assess impact of emerging treasury risk regulations and ensure regulatory compliance
• Collaborate with Model Validation Group, Global Treasury, Finance, and Regulatory Reporting
• Assist senior management and regulator communications

• 4-6 years of experience in Treasury, ALM, or Market Risk
• Advanced degree in Economics, Finance, Statistics or related field
• Strong technical, quantitative, statistical aptitude with data analytics
• English proficiency for senior management communication
• Excellent understanding of financial instruments and bank balance sheets
• Independent and critical thinking with strong financial acumen
• Team player with high integrity and ethical standards

• strong communication (verbal and written)
• team collaboration
• proactive and self-starter attitude
• QRM
• Intex
• ADCo