Analyse and monitor the bank’s IRRBB exposure, including EVE and NII sensitivities across different interest rate scenarios.
Assess the structural drivers of interest rate risk across the balance sheet, including repricing dynamics, behavioral assumptions and earnings sensitivity.
Review and challenge key modelling assumptions, particularly for non-maturity deposits, deposit betas and loan prepayment behaviour.
Provide independent analytical challenge to Treasury and ALM strategies, including balance sheet positioning and hedging approaches.
Support the development and enhancement of IRRBB analytics, balance sheet simulations and interest rate scenario analysis.
Contribute to the preparation of risk analysis and materials for governance forums, including ALCO.
Collaborate with the liquidity risk team on topics where interest rate risk and funding dynamics intersect.
Ensure adherence to IRRBB standards and relevant regulatory guidelines.

8–12 years of experience in financial risk management within banking.
Strong background in IRRBB, ALM Risk, Structural Balance Sheet Risk, or Treasury Risk analytics.
Hands-on experience analyzing NII and EVE sensitivities and interest rate stress scenarios.
Experience reviewing IRRBB modelling assumptions, including deposit behaviour and balance sheet dynamics.
Strong analytical skills and ability to translate quantitative analysis into clear insights for senior stakeholders.
Technical Skills (Preferred) Experience with ALM / IRRBB systems such as QRM, Bancware, RiskPro, Murex ALM, or similar platforms.
Analytical programming experience such as Python, R or SQL is advantageous.
Degree or Master’s in Mathematics, Engineering, Economics, Finance, or another quantitative discipline.
Professional certifications such as FRM or CFA are a plus.

In addition to salary and a generous employee benefits package, successful candidates are eligible to receive a discretionary bonus.

Senior Vice President, Balance Sheet Risk Analytics

Key skills