IRRBB Manager

Mercury•Portland, OR

35d

About The Position

We are seeking an analytical and technically skilled professional to lead the implementation, management, and ongoing enhancement of our cash flow engine. This role will be responsible for modeling balance sheet cash flows, supporting interest rate risk (IRR) analytics, and ensuring the integrity of key metrics such as Net Interest Income (NII) and Economic Value of Equity (EVE). The ideal candidate brings a strong understanding of asset-liability management (ALM), behavioral modeling, and financial modeling frameworks, along with the ability to translate complex assumptions into actionable insights.

Requirements

Bachelor’s degree in Finance, Economics, Mathematics, Engineering, or a related field (advanced degree preferred)
5+ years of experience in bank ALM, bank Treasury, IRR modeling, or quantitative finance
Strong understanding of: Bank balance sheets, products, and cash flow drivers, Net Interest Income (NII) modeling, Economic Value of Equity (EVE), Interest rate risk frameworks, Cash flow hedging
Experience developing and supporting behavioral models and assumptions (e.g., deposits, loans, prepayments)
Hands-on experience with ALM or cash flow engine platforms (e.g., QRM, Empyrean, BancWare, or similar)
Strong quantitative and analytical skills; proficiency in Excel and/or programming tools (Python, SQL, R a plus)
Ability to communicate complex modeling concepts to non-technical stakeholders

Nice To Haves

Experience in banking or financial services
Familiarity with regulatory expectations for IRRBB and model risk management
Experience with model validation or governance frameworks
Strong problem-solving mindset with attention to detail

Responsibilities

Support the vendor selection and system implementation of the firm’s cash flow engine / ALM system
Develop, maintain, and enhance cash flow models for assets and liabilities that will be used for risk monitoring and balance sheet forecasting
Produce and analyze interest rate risk metrics, including NII and EVE under various scenarios
Design, document, and support behavioral assumptions (e.g., prepayments, deposit decay, betas, non-maturity deposit modeling)
Partner with Finance and Risk teams to ensure alignment of modeling assumptions and outputs
Perform scenario analysis and sensitivity testing to support balance sheet strategy and risk management
Ensure data integrity, model accuracy, and compliance with internal policies and regulatory expectations
Support model validation, audit, and regulatory review processes
Identify opportunities to improve automation, efficiency, and model sophistication