Quant Interest Rate Risk - Senior Associate

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)