Treasury Risk Manager – Vice President
State Street
full-time
Posted on:
Location Type: Office
Location: Boston • Massachusetts • New Jersey • United States
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Salary
💰 $120,000 - $202,500 per year
Job Level
About the role
- Provide independent oversight of balance sheet interest rate risk (IRR), including identification of risks and drivers, establishment and maintenance of risk limits and other risk controls, measurement and analysis of risks, and monitoring and reporting of risks, including validation of data and risk calculations
- Perform independent assessments of the overall accuracy, effectiveness, and reliability of the balance sheet interest rate risk management framework
- Participate in special projects and review business strategies and new business initiatives to ensure business objectives are met within the firm’s overall risk appetite
- Review, challenge and report the firm's balance sheet interest rate risk profile and changes timely and accurately
- Develop interest rate risk limits, policy, guidelines and operating procedures, according to regulatory requirements and industry best practices
- Develop and/or improve interest rate risk measurements and methodologies to capture all key risk factors as market condition changes and for new business initiatives
- Oversight of risk capturing of client's deposit behaviors and impacts to NII and EVE
- Recommend and/or review risk measurement overlay if needed
- Review and challenge of CCAR and quarterly stress testing results and perform risk attribution analyses
- Oversight of underlying assumptions of QRM system implementation and their impacts to risk metrics results
- Prepare analyses, reports and data for senior management, audit, regulatory communication and exams, and rating agency requests
- Collaborate with the Modelling and Analytics team in implementation of risk metrics and models
- Support risk and/or regulatory projects and remediation as required; independently driving forward assigned tasks
Requirements
- 7+ years of experience in roles related to asset-liability management with a focus on balance sheet interest rate risk
- At least undergraduate degree in Finance, Economics, Business or quantitative field (such as mathematics, statistics, computer science, etc.) with a proven affinity to financial services
- graduate degree or professional designations such as CFA or FRM are a plus
- Experience with US and EU banking book interest rate risk regulatory requirements
- Deep knowledge of financial instruments, balance sheet structure and hedging, behavioral modeling of assets and liabilities, fund transfer pricing, and applicable risk measures like NII and EVE sensitivities
- In-depth understanding of financial statements of financial institutions and impacts from central bank policy changes to financial institutions
- Good working knowledge of financial products, such as fixed income securities, foreign exchange products, and interest rate derivatives
- Good understanding of hedging strategies against interest rate risk and FX exchange risk
- Strong analytical skill on working with large balance sheet data
- Proficiency with asset liability management systems, such as QRM, is a plus
Benefits
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Applicant Tracking System Keywords
Tip: use these terms in your resume and cover letter to boost ATS matches.
Hard Skills & Tools
balance sheet interest rate riskrisk measurementrisk analysisfinancial instrumentsbehavioral modelingfund transfer pricingNII sensitivityEVE sensitivityhedging strategiesfinancial statement analysis
Soft Skills
analytical skillsindependent oversightcollaborationcommunicationreportingproblem-solvingattention to detailproject managementcritical thinkingstrategic assessment
Certifications
CFAFRM