Director, Interest Rate Risk

ATB•Edmonton, AB

3d•Hybrid

About The Position

At ATB, we exist to make it possible for our clients, team members and communities. Our purpose is more than aspirational. It's a real commitment we live every day through our values (what we call the ATB ID). Life at ATB is about more than work. In fact, we’re consistently recognized as one of Canada's top employers thanks to our high-care, high-performance culture, upheld by the three commitments we make to our team members: Impact in action: No matter where you are in the organization, you're empowered to make an impact in the lives of our clients and communities. Thrive together: We want you—the unique, authentic you—to feel safe and celebrated at work. We're on a continuous journey to build the most flexible and inclusive programs. Ready for tomorrow: We want to enable your success through interesting and challenging work, performance enablement, and learning and development. About the role This position has a hybrid work arrangement. On average, this means 2 days on-site per week. Please note that this is subject to change due to business priorities. As ATB’s next Director, Interest Rate Risk (IRR), a critical strategic anchor within our Treasury Asset Liability Management (ALM) team, you will lead the quantitative modeling and regulatory reporting architecture for Interest Rate Risk in the Banking Book (IRRBB), directly safeguarding the bank’s non-trading balance sheet from adverse macroeconomic volatility. In this role, you will transform complex balance sheet simulations into high-impact strategic insights for the Asset-Liability Committee (ALCO), directly driving the bank’s structural hedging decisions and ensuring strict compliance with regulatory guidelines. This position demands a proven track record of managing and developing a team, outstanding communication and interpersonal capabilities, and progressive experience in IRRBB management and modeling within Canadian financial institutions.

Requirements

A CFA charterholder and/or FRM designation, complemented by a master’s or bachelor’s degree in Economics, Mathematics, Statistics, Finance, Business, or a related field.
Seven or more years of experience in Treasury, Asset Liability Management, Balance Sheet Management, or Interest Rate Risk Management supplemented by functional knowledge of hedge accounting.
Deep, technical familiarity with Canadian banking regulations, specifically OSFI Guideline B-12 and international Basel Committee (BCBS) framework standards for IRRBB.
Direct, hands-on experience utilizing institutional ALM modeling software coupled with advanced proficiency in SQL and scripting experience in Python.
A proven ability to synthesize complex quantitative data into clear, compelling narratives and presentations for senior executives, Second and Third-Lines of Defence, and regulatory stakeholders.

Nice To Haves

Knowledge and/or previous experience with GCP platforms (BigQuery) and banking ERP systems (SAP) is considered a strong asset.

Responsibilities

Translate complex IRRBB risk metrics into actionable balance sheet strategies, influencing internal macro-hedging actions designed to protect the bank's net interest margin.
Own the end-to-end production, validation, and submission of regulatory reports, ensuring compliance with OSFI B-12 guidelines and Basel Pillar 3 disclosure requirements.
Execute and continuously improve Economic Value of Equity (EVE) and Net Interest Income (NII) at Risk simulations and formulate stress testing scenarios tailored to the Canadian macroeconomic landscape.
Maintain exceptional model documentation and data lineage standards, defending core assumptions and methodologies to Second-Line of Defense oversight while developing strong partnerships with both internal and external stakeholders.
Champion a high-performance culture by leading, mentoring, and actively developing a team of IRR professionals. Drive strategic innovation and professional growth while fostering cross-functional collaboration across the broader ALM and Treasury teams.