ALM Manager, Royal Bank of Canada US, Los Angeles, CA:
Core
Lead production of Interest Rate Risk in the Banking Book (IRRBB) metrics (NII, EVE, KRD) for major US entities and manage asset-liability management models.
Role type
Senior ALM Manager (Quantitative Risk Management)
Builds
IRRBB metrics, balance sheet models, and hedging strategies for US banking operations
Domain
Banking / Financial Risk Management
Deliverable
production ML models | dashboards & analysis
Required skills
IRRBB modeling, gap analysis, duration modeling, EVE simulations, asset-liability repricing, interest rate swaps structuring, behavioral modeling for deposits, dynamic hedging, data pipeline development, SQL, Python, R, Tableau, Power BI, QRM platforms
Preferred skills
None stated
Technologies
SQL, Python, R, Tableau, Power BI, QRM Modelling Platforms
Responsibilities
Lead development and maintenance of IRRBB model methodologies; Monitor compliance of IRRBB metrics with limits; Escalate increased IRR exposures; Lead periodic back testing and sensitivity analysis; Communicate with Treasury and Finance teams to develop assumptions; Lead updates of IRRBB policies and annual limit reviews; Propose new mitigation strategies; Monitor economic environment and balance sheet trends.
Seniority
Senior, hands-on IC
