Structural Interest Rate Risk [Multiple Positions Available]

Job description

DESCRIPTION: Duties: Manage second-line risk oversight of firmwide structural interest rate risk (SIRR), ensuring alignment with the firm's risk framework. Provide comprehensive coverage of key interest rate risk in the banking book (IRRBB) metrics, including basis point value (BPV), earnings at risk (EaR), and economic value sensitivity (EVS). Monitor and calibrate limits, and review changes in metric usage to maintain consistency with risk standards. Lead the design and execution of forward-looking scenario analysis using internally developed and regulatory-defined rate shocks, varying Federal Reserve policy paths, and macroeconomic variables. Perform ad hoc stress tests ahead of notable market events and quantify the potential impact of interest rate movements on firm earnings and economic value under stress scenarios. Coordinate with Treasury front office, Finance, and other risk partners to ensure firmwide risk metrics are methodologically consistent, well- documented, and operationally effective. Review model changes and new implementation proposals from a second-line perspective to ensure adequate risk coverage and internal controls. Prepare and deliver regular updates to se...