AVP / VP Interest Rate Risk & Balance Sheet Analytics
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Overview
Remote
On-site
Compensation
$91,000-$91,000/year
Job Description
Title: AVP / VP Interest Rate Risk & Balance Sheet AnalyticsOffice Status: Onsite New York, NYBase Salary: $91k $185k + BonusOverview: This AVP or VP-level opportunity sits within the Treasury function of a well-established financial institution, serving as a specialized subject matter expert in Interest Rate Risk in the Banking Book and Asset-Liability Management. The role offers direct impact on the bank's balance sheet strategy, risk profile, and regulatory compliance spanning model development, behavioral modeling, EVE/NII sensitivity analysis, and IRRBB governance enhancement. It's an ideal fit for a quantitatively strong risk professional with hands-on IRRBB or ALM model experience who is equally comfortable driving analytical innovation and engaging with regulators, senior management, and cross-functional stakeholders in a fast-paced, highly regulated environment.Key Responsibilities:
- Lead the development, enhancement, and maintenance of IRRBB measurement methodologies including EVE, NII, NIM sensitivity, and stress testing frameworks;ensure alignment with Basel/US standards, regulatory expectations, and industry best practices
- Manage and continuously improve behavioral assumptions for non-maturity deposits, loan prepayments, early redemptions, and product optionality;support design and calibration of risk appetite metrics, limits, and escalation protocols
- Develop, implement, or enhance IRRBB quantitative models including NMD behavioral models, prepayment and early redemption models, repricing and yield curve models, dynamic balance sheet simulations, and replication portfolio methodologies
- Lead or support model documentation, performance monitoring, back-testing, and benchmarking;collaborate with Model Validation to address findings and ensure end-to-end model lifecycle compliance
- Perform advanced ALM analytics to support Treasury's strategic decision-making across hedging strategies, balance sheet duration positioning, and interest rate scenarios
- Partner with Treasury and senior management to assess interest rate exposures and recommend hedging or balance sheet strategies;collaborate with Liquidity Risk, Capital Management, and Finance to assess interactions between IRRBB, liquidity, capital ratios, and earnings forecasts
- Serve as a key point of contact during regulatory examinations, audits, and internal risk reviews;communicate model results, methodologies, and risk insights to senior management and committees
- Support enhancements to ALM/IRRBB systems including risk engines, ALM platforms, and FTP engines;drive improvements in data quality, scenario management, and reporting automation
- Work with quantitative and technology teams to implement new models and analytics into production environments
- Partner with Treasury, Market Risk, Finance, FTP, and IT to ensure consistent IRRBB frameworks and data integrity across the organization
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FAQs About AVP / VP Interest Rate Risk & Balance Sheet Analytics Jobs at Madison-Davis
What is the work location for this position at Madison-Davis?
This job at Madison-Davis is located in New York, NY, according to the details provided by the employer. Some roles may also include multiple work locations depending on the requirement.
What pay range can candidates expect for this role at Madison-Davis?
Candidates can expect a pay range of $91,000 and $91,000 per year.
What employment applies to this position at Madison-Davis?
The employer has not provided this information. This may be discussed during the hiring process.
What is the process to apply for this position at Madison-Davis?
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