IRRBB Manager

Role Overview

We are seeking an analytical and technically skilled professional to lead the implementation, management, and ongoing enhancement of our cash flow engine. This role will be responsible for modeling balance sheet cash flows, supporting interest rate risk (IRR) analytics, and ensuring the integrity of key metrics such as Net Interest Income (NII) and Economic Value of Equity (EVE).

The ideal candidate brings a strong understanding of asset-liability management (ALM), behavioral modeling, and financial modeling frameworks, along with the ability to translate complex assumptions into actionable insights.

Key Responsibilities

• Support the vendor selection and system implementation of the firm's cash flow engine / ALM system
• Develop, maintain, and enhance cash flow models for assets and liabilities that will be used for risk monitoring and balance sheet forecasting
• Produce and analyze interest rate risk metrics, including NII and EVE under various scenarios
• Design, document, and support behavioral assumptions (e.g., prepayments, deposit decay, betas, non-maturity deposit modeling)
• Partner with Finance and Risk teams to ensure alignment of modeling assumptions and outputs
• Perform scenario analysis and sensitivity testing to support balance sheet strategy and risk management
• Ensure data integrity, model accuracy, and compliance