ALM Manager, Royal Bank of Canada US, Los Angeles, CA:

RBC•Los Angeles, CA

59d•Onsite

About The Position

The ALM Manager is responsible for leading the production of all Interest Rate Risk in the Banking Book (IRRBB) metrics, including NII (Net Interest Income), EVE (economic value of equity), and KRD (Key rate duration) for major CUSO (Combined US Operations) entities. This role involves leading the development, support, maintenance, and documentation of model methodologies and procedures for QRM (Quantitative Risk Management) models. The manager will monitor compliance of IRRBB metrics with applicable limits, escalate increased Interest Rate Risk (IRR) exposures to senior management, and ensure the accuracy and reasonableness of ALM (Asset and Liability Management) model projections according to model governance standards. Key responsibilities include leading periodic back testing and sensitivity analysis of modeling assumptions, communicating with various teams across City National Bank (CNB) and CUSO to develop accurate assumptions for IRRBB models, and leading updates of IRRBB policies and procedures, as well as the annual limit review. The role also requires monitoring the economic environment and balance sheet trends to identify detrimental developments to IRRBB and proposing new mitigation strategies. Establishing strong working relationships within Treasury, Finance, and across business units and platforms is essential.

Requirements

Bachelor’s degree in Electronics Engineering, Communication Engineering, Finance, Business, Economics, Accounting, Management Information Systems or a related field
5 years of progressive, post-baccalaureate work experience.
5 years of experience in Designing and implementing frameworks for measuring, monitoring, and mitigating IRRBB (Interest Rate Risk in the Banking Book) in compliance with regulatory guidelines
5 years of experience in Conducting gap analysis, duration modeling, and economic value of equity (EVE) simulations to assess balance sheet sensitivity to interest rate shocks
5 years of experience in Managing asset-liability repricing mismatches and optimizing balance sheet structure to align with risk appetite and strategic goals
5 years of experience in Structuring and executing interest rate swaps (IRS), swaptions, and treasury futures/options to hedge IRR exposures
5 years of experience in Utilizing behavioral modeling for non-maturity deposits (NMDs) and prepayment risk analysis for loan portfolios
5 years of experience in Implementing dynamic hedging programs to adjust positions in response to market volatility and balance sheet changes
3 years’ experience in Developing and maintaining data pipelines for ALM reporting, ensuring accuracy, consistency, and compliance with data standards
3 years’ experience in Leveraging SQL, Python, or R for data extraction, transformation, and validation to support IRR and liquidity risk models
3 years’ experience in Using dashboards with data visualization tools Tableau or Power BI
3 years’ experience in Utilizing QRM Modelling Platforms to build and validate balance sheet models, cash flow projections, and stress-testing scenarios

Nice To Haves

Domestic travel required up to 20%.

Responsibilities

Lead production of all Interest Rate Risk in the Banking Book (IRRBB) metrics such as NII (Net Interest Income), economic value of equity (EVE), and KRD (Key rate duration) for major CUSO (Combined US Operations) entities.
Lead development, support, maintenance, and documentation of model methodologies and procedures for QRM (Quantitative Risk Management) models.
Monitor compliance of IRRBB (Interest Rate Risk in the Banking Book) metrics with all applicable limits.
Escalate to senior management increased levels of IRR (Interest Rate Risk) exposures.
Ensure accuracy and reasonableness of ALM (Asset and Liability Management) model projections following the model governance standard regarding data completeness and assumptions development.
Lead periodic back testing and sensitivity analysis of modeling assumptions.
Communicate with various teams across the City National Bank (CNB) and CUSO (Combined US Operations) to develop accurate and reasonable assumptions for IRRBB models.
Lead updates of IRRBB policies and procedures.
Lead annual limit review.
Monitor economic environment and balance sheet trends to identify developments detrimental to the IRRBB.
Propose new mitigation strategies, including on- and off-balance sheet options.
Establish strong working relationships within Treasury, Finance and across business units and platforms.