Sumitomo Mitsui Banking Corporation – SMBC Group

Head of Interest Rate Risk, Portfolio Mark to Market Risk Oversight

Sumitomo Mitsui Banking Corporation – SMBC Group

full-time

Posted on:

Location Type: Hybrid

Location: New York City • New York • United States

Visit company website

Explore more

✨ AI Apply
Apply

Salary

💰 $223,000 - $248,000 per year

Job Level

Lead

About the role

  • Lead a team of risk management professionals specialized in IRRBB and Portfolio MTM Risk. Set the vision and strategic direction of the team, establish ambitious goals, and manage the team to ensure execution.
  • Perform ongoing independent oversight of the IRRBB and Portfolio MTM risk of SMBC branches and legal entities in the Americas region. Review and challenge risk metrics, including economic value of equity (EVE) and Net Interest Income (NII) sensitivities to interest rates. Assess hedging strategies and related hedge accounting treatment.
  • Collaborate with Treasury and Finance to influence risk management strategies.
  • Execute ongoing review and challenge of the IRRBB and Portfolio MTM risk management framework. Review and challenge deposit modeling and other material assumptions.
  • Identify enhancement areas in the IRRB and Portfolio MTM risk framework and ensure enhancement plans are defined and implemented.
  • Participate in regional risk committees and governance forums.
  • Prepare and present risk analyses and reports to senior management, regional boards, and global risk committees, as required.
  • Ensure timely escalation of risk issues and limit breaches to appropriate stakeholders.
  • Promote continuous enhancement of the oversight framework established by the independent second line risk function.
  • Act as the primary point of contact for regional regulators on IRRBB and Portfolio MTM risk matters related to the second line function.
  • Ensure proper set up and documentation of the team’s processes. Strive for process automation and ensure efficiencies in the team’s operations.
  • Establish collaborative relationship with the first line Treasury functions; provide support and risk advice while maintaining independence.
  • Build and maintain relationships with business partners and foster a risk culture through the organization.
  • Interact with colleagues in Tokyo Head Office and in other regions (i.e., EMEA, APAC).

Requirements

  • 10+ years of IRRBB and Portfolio MTM risk experience in the first- or second-line groups of large U.S. banks or FBOs
  • Strong background in financial markets and products
  • Extensive understanding of balance sheet products and risks, including the products’ impact on IRRBB exposures
  • Deep knowledge and understanding of U.S. regulatory requirement for IRRBB (e.g., SR 96-13, SR 10-1, SR 16-3) and international standards; familiarity with IRRBB regulations in other jurisdictions is a plus
  • Extensive experience in interacting with U.S. supervisors is required
  • Deep knowledge of methods and approaches used for the quantification of IRRBB and Portfolio MTM risk. These include but are not limited to NII and EVE sensitivities and deposit modeling
  • Experience in setting or assessing adequacy of IRRBB and Portfolio MRM risk limits
  • Proven experience in leading risk management teams, defining the team vision, and achieving strategic goals
  • Strong leadership and interpersonal skills are required. Strategic thinking with ability to influence at senior levels
  • Extremely organized and structured with strong project planning skills and ability to deliver under tight deadlines
  • Excellent verbal and written communication skills with the ability to manage a variety of projects simultaneously.
Benefits
  • Annual discretionary incentive award
  • Competitive portfolio of benefits

Applicant Tracking System Keywords

Tip: use these terms in your resume and cover letter to boost ATS matches.

Hard skills
IRRBBPortfolio MTM riskeconomic value of equity (EVE)Net Interest Income (NII) sensitivitieshedging strategiesdeposit modelingquantification methods for IRRBBrisk management frameworkrisk metricsrisk limits
Soft skills
leadershipinterpersonal skillsstrategic thinkingproject planningorganizational skillscommunication skillsinfluencing skillscollaborationrelationship buildingprocess automation