Treasury Risk Manager, Vice President

State Street • Boston, MA

3d

About The Position

State Street Global Treasury Risk Management (GTRM) provides second line oversight of trading market risk across Markets and Treasury divisions as well as liquidity risk, interest rate risk (IRR), investment portfolio mark-to-market risk, and capital risk oversight of the firm’s banking book. GTRM is a unit within the Financial Risk group of Enterprise Risk Management (ERM). We seek to hire an experienced senior Treasury Risk Manager to provide second line oversight of the interest rate risk management of the firm’s balance sheet. Position and Primary Duties and Responsibilities The Treasury Risk Manager will: Provide independent oversight of balance sheet interest rate risk (IRR), including identification of risks and drivers, establishment and maintenance of risk limits and other risk controls, measurement and analysis of risks, and monitoring and reporting of risks, including validation of data and risk calculations. Perform independent assessments of the overall accuracy, effectiveness, and reliability of the balance sheet interest rate risk management framework. Participate in special projects and review business strategies and new business initiatives to ensure business objectives are met within the firm’s overall risk appetite. Review, challenge and report the firm's balance sheet interest rate risk profile and changes timely and accurately. Develop interest rate risk limits, policy, guidelines and operating procedures, according to regulatory requirements and industry best practices. Develop and/or improve interest rate risk measurements and methodologies to capture all key risk factors as market condition changes and for new business initiatives. Oversight of risk capturing of client's deposit behaviors and impacts to NII and EVE. Recommend and/or review risk measurement overlay if needed. Review and challenge of CCAR and quarterly stress testing results and perform risk attribution analyses. Oversight of underlying assumptions of QRM system implementation (e.g., interest rate term structure models, volatility models) and their impacts to risk metrics results. Prepare analyses, reports and data for senior management, audit, regulatory communication and exams, and rating agency requests. Collaborate with the Modelling and Analytics team in implementation of risk metrics and models Support risk and/or regulatory projects and remediation as required; independently driving forward assigned tasks

Requirements

• 7+ years of experience in roles related to asset-liability management with a focus on balance sheet interest rate risk; exposure to regulatory interactions is a plus.
• At least undergraduate degree in Finance, Economics, Business or quantitative field (such as mathematics, statistics, computer science, etc.) with a proven affinity to financial services; graduate degree or professional designations such as CFA or FRM are a plus.
• Experience with US and EU banking book interest rate risk regulatory requirements.
• Deep knowledge of financial instruments, balance sheet structure and hedging, behavioral modeling of assets and liabilities, fund transfer pricing, and applicable risk measures like NII and EVE sensitivities.
• In-depth understanding of financial statements of financial institutions and impacts from central bank policy changes to financial institutions.
• Good working knowledge of financial products, such as fixed income securities, foreign exchange products, and interest rate derivatives.
• Good understanding of hedging strategies against interest rate risk and FX exchange risk.
• Strong verbal and written communication skills, with ability to articulate effectively ideas and analysis to senior management.
• Strong analytical skill on working with large balance sheet data.
• Proficiency with asset liability management systems, such as QRM, is a plus.
• Self-starter with critical thinking skills and strong financial acumen, willingness to work in a fast-paced and high-energy level environment, and highly organized to manage competing deadlines.
• Team player with unquestionable integrity and ethical standards.
• Ability to gain trust and respect of business partners.

Responsibilities

• Provide independent oversight of balance sheet interest rate risk (IRR), including identification of risks and drivers, establishment and maintenance of risk limits and other risk controls, measurement and analysis of risks, and monitoring and reporting of risks, including validation of data and risk calculations.
• Perform independent assessments of the overall accuracy, effectiveness, and reliability of the balance sheet interest rate risk management framework.
• Participate in special projects and review business strategies and new business initiatives to ensure business objectives are met within the firm’s overall risk appetite.
• Review, challenge and report the firm's balance sheet interest rate risk profile and changes timely and accurately.
• Develop interest rate risk limits, policy, guidelines and operating procedures, according to regulatory requirements and industry best practices.
• Develop and/or improve interest rate risk measurements and methodologies to capture all key risk factors as market condition changes and for new business initiatives.
• Oversight of risk capturing of client's deposit behaviors and impacts to NII and EVE.
• Recommend and/or review risk measurement overlay if needed.
• Review and challenge of CCAR and quarterly stress testing results and perform risk attribution analyses.
• Oversight of underlying assumptions of QRM system implementation (e.g., interest rate term structure models, volatility models) and their impacts to risk metrics results.
• Prepare analyses, reports and data for senior management, audit, regulatory communication and exams, and rating agency requests.
• Collaborate with the Modelling and Analytics team in implementation of risk metrics and models
• Support risk and/or regulatory projects and remediation as required; independently driving forward assigned tasks

Benefits

• Employees are eligible to participate in State Street’s comprehensive benefits program, which includes: our retirement savings plan (401K) with company match; insurance coverage including basic life, medical, dental, vision, long-term disability, and other optional additional coverages; paid-time off including vacation, sick leave, short term disability, and family care responsibilities; access to our Employee Assistance Program; incentive compensation including eligibility for annual performance-based awards (excluding certain sales roles subject to sales incentive plans); and, eligibility for certain tax advantaged savings plans.

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level
• Number of Employees: 5,001-10,000 employees