Interest Rate Risk in the Banking Book Oversight Manager

Sumitomo Mitsui Banking Corporation • New York, NY

3d • Hybrid

About The Position

Sumitomo Mitsui Banking Corporation (“SMBC”) is seeking a Vice President to join the Treasury Risk Management group for the Interest Rate Risk in the Banking Book (IRRBB) & Portfolio Mark-to-Market (MTM) Risk oversight. The Treasury Risk Management group is a risk function within the Risk Management Department Americas Division (RMDAD) that oversees the treasury risks and balance sheet strategy of SMBC branches and subsidiaries in the region; the group provides risk oversight that extends to liquidity risk, interest rate risk in the banking book, and capital management, and independently assesses business strategies that impact these risks. The mandate of the group is to ensure that all treasury risks are adequately identified, measured, controlled, monitored and reported.The group works closely with the SMBC risk management department in Tokyo Head Office that oversees the consolidated SMFG $2+ Tr. balance sheet risks.The Vice President within the IRRBB & Portfolio MTM Risk Oversight team will play a key role within the organization and will be part of a small team with a mandate to oversee IRRBB and Portfolio MTM risk for the ~$300B combined balance sheet across different legal entities and jurisdictions in the region.  The position requires technical expertise in interest rate risk management and portfolio MTM risk, valuation methodologies, and regulatory frameworks. The position offers a great opportunity to gain a broader view of a bank balance sheet and balance sheet strategy, including the risk-return dimensions that Treasury departments face in the strategic risk positioning.

Requirements

• 5+ years of IRRBB and Portfolio MTM risk experience in the first- or second-line groups of U.S. banks or FBOs.
• Understanding of balance sheet products and risks, including the products’ impact on IRRBB exposures.
• Familiarity with U.S. regulatory requirement for IRRBB (e.g., SR 96-13, SR 10-1, SR 16-3) and international standards.
• Knowledge of methods and approaches used for the quantification of IRRBB and Portfolio MTM risk. These include but are not limited to earnings, NII and EVE sensitivities and deposit modeling.
• Familiarity with QRM system for ALM and IRRBB.
• Strong interpersonal skills.
• Extremely well-organized and structured.
• Ability to deliver under tight deadlines and manage a variety of projects simultaneously.
• Excellent verbal and written communication skills.

Responsibilities

• Perform ongoing independent oversight of the IRRBB and Portfolio MTM risk exposures for SMBC branches and legal entities in the Americas region. Review and challenge risk metrics reported by the first line, including Economic Value of Equity (EVE) and Net Interest Income (NII) sensitivities to interest rates. Assess hedging strategies and related hedge accounting treatment.
• Support independent assessment of balance sheet and risk management strategies.
• Execute ongoing review and challenge of the IRRBB and Portfolio MTM risk management framework, including assumptions, approaches, and methodologies adopted in the measurement of IRRBB and Portfolio MRM risk. Evaluate QRM set up and modeling choices and report to senior management.
• Identify, recommend, and implement enhancements to the second line IRRBB and Portfolio MTM risk oversight framework. Support and perform review and challenge of first line of defense framework enhancements.
• Prepare and present risk analyses and reports to senior management and internal committees, as required.
• Ensure timely escalation of risk issues and limit breaches to senior management.
• Support and participate in engagements with local regulators in the region.
• Ensure documentation of the team’s processes and support process automation as appropriate.
• Establish collaborative relationship with the first line Treasury function and other stakeholders within the Americas Division and in other regions.

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level
• Education Level: No Education Listed