Asset and Liability Management Risk Manager - Financial Risk Management

Western Alliance Bank•Phoenix, AZ

73d

About The Position

The Market Risk Team within Financial Risk Management (FRM) oversees risk taking activities of Treasury focusing specifically on Interest Rate Risk. The team facilitates effective use of risk appetite to monitor and assess risk-taking activities. The group also plays a key role in keeping senior management appraised of the Company’s market risk profile. This is achieved by using risk measures, proactive application of expert judgement, and limit setting. Activities are centered on risk management and analysis, transparency and escalation of risk, supervision, and overall process improvement. You'll provide independent risk oversight, challenge, and assessment of interest rate risk exposure with a strong emphasis on quantitative analysis, use of management judgement, and data validation using quantitative techniques Review scenario design, model configurations, and results produced in the Quantitative Risk Management tool (QRM) (e.g., Economic Value of Equity/Earnings at Risk, forecast runs, Funds Transfer Pricing linkages); independently replicate or sensitivity‑test key assumptions using quantitative techniques where direct QRM instance access is not available. Develop robust processes and tools to validate key financial assumptions, such as deposit behaviors, prepayment trends, and pricing strategies, and ensure QRM results are accurately reconciled with source systems and established policy limits. Lead structured challenge sessions and memorialize outcomes in memos/minutes consistent with FRM governance and practices. Produce Second Line of Defense Asset Liability Management/Interest Rate Risk dashboards and narratives for the Asset Liability Committee/Financial Risk Management governance, highlighting drivers of risk and emerging issues. Assist in developing and enhancing the market risk management framework, including the design and implementation of risk metrics, reporting processes, and limit structures

Requirements

5+ years in Asset Liability Management/Interest Rate Risk in the Banking Book, with at least 2+ years in Second Line of Defense/Model Risk Management or other independent oversight roles.
Bachelor's degree in related field required.
Hands‑on QRM proficiency (Asset Liability Management/Interest Rate Risk modules; comfort reading QRM output structures, assumptions, and libraries).
Ability to replicate Economic Value of Equity/Earnings at Risk and Net Interest Income sensitivities via Python/R/Structured Query Language when needed.
Advanced knowledge of Asset Liability Management concepts & policy (betas, decays, prepay, deposit segmentation, Funds Transfer Pricing, hedging), and Interest Rate Risk/Asset Liability Management governance.
Knowledge of ALM concepts & policy (betas, decay rates, prepay, deposit segmentation, FTP, hedging), and IRR/ALM governance.
Advanced speaking and writing communication skills.

Nice To Haves

Professional certification such as Financial Risk Manager (FRM), Professional Risk Manager (PRM), or Chartered Financial Analyst (CFA) preferred.
Advanced knowledge and experience with tools like Python, Structured Query Language, or R for data analysis and quality checks is a plus, along with familiarity with version control and an interest in process improvement.

Responsibilities

Provide independent risk oversight, challenge, and assessment of interest rate risk exposure with a strong emphasis on quantitative analysis, use of management judgement, and data validation using quantitative techniques
Review scenario design, model configurations, and results produced in the Quantitative Risk Management tool (QRM) (e.g., Economic Value of Equity/Earnings at Risk, forecast runs, Funds Transfer Pricing linkages); independently replicate or sensitivity‑test key assumptions using quantitative techniques where direct QRM instance access is not available.
Develop robust processes and tools to validate key financial assumptions, such as deposit behaviors, prepayment trends, and pricing strategies, and ensure QRM results are accurately reconciled with source systems and established policy limits.
Lead structured challenge sessions and memorialize outcomes in memos/minutes consistent with FRM governance and practices.
Produce Second Line of Defense Asset Liability Management/Interest Rate Risk dashboards and narratives for the Asset Liability Committee/Financial Risk Management governance, highlighting drivers of risk and emerging issues.
Assist in developing and enhancing the market risk management framework, including the design and implementation of risk metrics, reporting processes, and limit structures