Quant Interest Rate Risk - Senior Associate

Job description

Join the Structural Interest Rate Risk Analytics (SIRRA) team within the Consumer and Community Banking (CCB) Treasury team and drive CCB’s interest rate risk framework. As a Global Finance and Business Management Manager within the Structural Interest Rate Risk Analytics (SIRRA) team, you will be responsible for analyzing, improving, and managing interest rate risk and transfer pricing across all areas of the Consumer and Community Banking balance sheet, including deposits, home lending, auto lending, credit cards, and business loans.

As a member of our team, you will be responsible for applying treasury principles to balance sheet analytics, synthesizing strategic insights, and communicating compelling recommendations to executive stakeholders. Your analytical expertise and proactive mindset will play a key role in advancing the future of CCB Treasury. Drive meaningful change by utilizing technology and market intelligence to successfully navigate an evolving economic landscape.

Job Responsibilities

• Evaluate interest rate risk (IRR) and update modeling assumptions across deposits, credit cards, and mortgage portfolios Manage IRR within the banking book, focusing on indicators such as Earnings at Risk, duration and DV01
• Understand and refine deposit funds transfer pricing methodologies for monthly forecasts and stress testing exercises
• Maintain awareness of market developments and macroeconomic conditions to help the firm navigate asset-liability management (ALM) and regulatory requirements
• Perform in-depth scenarios and sensitivity analysis to assess risk-return tradeoffs
• Ensure adherence to internal risk limits and policies , supporting ongoing enhancements to governance practices Leverage advanced Python skills to design and execute quantitative analyses
• Work collaboratively with cross-functional teams to embed interest rate risk analytics into comprehensive balance sheet management
• Create and improve reporting solutions to deliver actionable insights for senior management Clearly communicate complex concepts to both technical and non-technical audiences Required qualifications, capabilities and skills 2 plus years of full-time work experience with finance exposure (banking, strategy, capital markets, asset management, or risk management) Bachelor’s/Master’s degree in a quantitative or related field required (financial engineering, statistics, applied mathematics, data science, etc.)
• Proficiency in Python or other scripting language (R, MATLAB, VBA, etc.)
• Proficiency use of Excel and PowerPoint
• Knowledge of econometrics, machine learning or other statistical techniques
• Ability to work independently to deliver quality analytical solutions Interest in applying quantitative skills in a corporate finance to manage interest rate risk on CCB’s balance sheet Effective communication skills, both written and verbal Preferred qualifications, skills, and capabilities Prior exposure in a Treasury/ALM role or familiarity with interest rate risk concepts
• Proficiency in SQL and Tableau Progress towards CFA or FRM Experience with version control (e.g.

GitHub, Bitbucket)