Interest Rate Risk Manager - IRRBB

TALENT SHIFT LLC•New York, NY

22h•Hybrid

About The Position

We are looking for an experienced Interest Rate Risk professional for our asset manager client on a project basis. This role is hybrid in Midtown, NYC.

Requirements

Bachelor’s degree or higher in finance, or other related fields
10+ years of relevant IRRBB, ALM, NII, EVE, and deposit modeling experience
Qualified applicants must reside in the continental U.S.
Must be legally authorized to work in the United States now and in the future. Verification of employment eligibility will be required at the time of hire. Visa sponsorship is not available for this position.

Responsibilities

Perform analysis, validation, and review of Interest Rate Risk in the Banking Book (IRRBB) frameworks, including Net Interest Income (NII), Earnings-at-Risk (EaR), Economic Value of Equity (EVE), balance sheet repricing, and interest rate sensitivity measurement.
Review and assess Non-Maturing Deposit (NMD) behavioral and pricing models, including deposit segmentation, deposit beta modeling, rate propagation assumptions, attrition modeling, and runoff analysis.
Evaluate ALM and IRR risk measurement methodologies across deposits, mortgages, and commercial/consumer loan portfolios, including model assumptions, reporting processes, and governance controls.
Assess IRR/ALM policies, procedures, and regulatory compliance, including scenario analysis, stress testing, model governance, policy enhancements, duration and convexity limits, and remediation of regulatory or audit findings.