Non-Trading Market Risk - IRRBB, Vice President
Core
Provides independent second-line risk oversight for Interest Rate Risk in the Banking Book (IRRBB) and Treasury Investments, challenging first-line activities and monitoring stress loss limits.
Role type
Vice President, Non-Trading Market Risk (Second Line)
Builds
Independent risk management frameworks, policies, and procedures for IRRBB and Treasury Investments
Domain
Banking, Financial Services, Risk Management
Required skills
Risk management, Fixed income analytics, Capital markets products, IRRBB methodologies, Regulatory compliance, Governance control processes, Stress testing, Limit monitoring
Preferred skills
Treasury investments, Balance sheet management, New activity proposal review
Technologies
AI tools, Automated processing
Responsibilities
Ensures second-line independent market risk oversight of first-line activities; Reviews and challenges IRRBB risk identification, entity limits, assumptions, models, and transfer pricing strategies; Monitors drivers of significant movements in reported IRRBB exposures (pricing risk, curve risk, optionality); Monitors Non-Trading Market Risk stress loss limits and management actions; Coordinates development of Non-Trading Market Risk Frameworks, Policies, and Procedures; Reviews risk management processes for conceptual soundness and limitations.
Seniority
Vice President, Senior leadership with hands-on oversight
