Location: New York, NY, United States

DESCRIPTION:

Duties: Manage second-line risk oversight of firmwide structural interest rate risk (SIRR), ensuring alignment with the firm's risk framework. Provide comprehensive coverage of key interest rate risk in the banking book (IRRBB) metrics, including basis point value (BPV), earnings at risk (EaR), and economic value sensitivity (EVS). Monitor and calibrate limits, and review changes in metric usage to maintain consistency with risk standards. Lead the design and execution of forward-looking scenario analysis using internally developed and regulatory-defined rate shocks, varying Federal Reserve policy paths, and macroeconomic variables. Perform ad hoc stress tests ahead of notable market events and quantify the potential impact of interest rate movements on firm earnings and economic value under stress scenarios. Coordinate with Treasury front office, Finance, and other risk partners to ensure firmwide risk metrics are methodologically consistent, well- documented, and operationally effective. Review model changes and new implementation proposals from a second-line perspective to ensure adequate risk coverage and internal controls. Prepare and deliver regular updates to senior stakeholders, including Treasury and Board Risk Committees. Translate complex interest rate risk profiles into concise narratives with clear firmwide implications. Respond to regulatory inquiries and participate in targeted reviews focused on IRRBB methodologies, assumptions, and exposures. Mentor junior team members in interest rate risk management responsibilities and review their deliverables. Present risk analysis and scenario updates in global risk calls and forums to senior management and other stakeholders.

QUALIFICATIONS:

Minimum education and experience required: Master's degree in Quantitative Finance, Finance, Economics, or related field of study plus five (5) years of experience in the job offered or as Structural Interest Rate Risk, Investment Banker, Market Risk Specialist, or related occupation.

Skills Required: This position requires two (2) years of experience with the following: Analyzing fixed income and interest rate products including bonds, swaps, and swaptions using Excel; Managing interest rate risk and market risk including Interest Rate Risk in the Banking Book (IRRBB) and Value at Risk (VaR) using metrics such as Economic Value of Equity (EVE), Net Interest Income (NII), sensitivities, and DV01; Managing credit spread sensitivity metrics such as Credit Spread Widening (CSW) and CS01, and interest rate risk sensitivities including basis risk; Analyzing securities portfolios across accounting methods including Available for Sale (AFS), Held to Maturity (HTM), and Mark to Market (MTM); Conducting risk analysis of Funds Transfer Pricing (FTP) and funding liabilities including long-term debt and deposits; Setting risk limits and participating in review and challenge of first line of defense activities. This position requires any amount of experience with the following: Analyzing structured products using Python, SQL, and Excel; Performing scenario analysis and stress testing using partial DV01 and key rate duration of the banking book and securities portfolio; Evaluating key risk metrics using fixed income analytics such as bond valuation, duration, and convexity; Analyzing deposit pricing through calculation of deposit beta; Preparing presentations on market environment and risk analysis; Applying Basel regulatory frameworks.

Job Location: 270 Park Ave, New York, NY 10017.

Full-Time. Salary:  $188,178.00 - $188,178.00 per year.