IRRBB Manager
Mercury · New York, NY · 3 wk ago
Management$208k–$260k/yrFull-time
Key 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
Qualifications
- 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
Preferred Skills
- 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