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Interest Rate Risk Analyst
The Interest Rate Market Risk Analyst is responsible for providing guidance and assessing the risks associated with interest rate changes within an organization's portfolio. This role involves performing effective challenges on design and management of interest rate risk, reviewing interest rate risk related reporting and related assumptions, monitoring key risk indicators, building SLOD challenge tools and analyzing risk management strategies.
The ideal candidate will have a strong analytical background, experience with risk modeling, and a solid understanding of interest rate dynamics, financial markets, and regulatory requirements.
Position Responsibilities
Risk Analysis and Monitoring
Review interest rate risk related materials provided by Corporate Treasury; including but not limited to ALCO materials, weekly markets meetings, modeling and stress testing assumptions and results, KRIs, and QRM consultations. Monitor market trends and key economic indicators that may affect interest rate risk. Provide oversight of securities purchases and conduct postmortem assessment of securities purchase analysis, including impact on duration, yield, liquidity, and hedge value. Attend tactical ALCO and the Weekly Markets meeting providing effective challenge and subject matter expertise where appropriate. Provide support to the annual review of interest rate risk under the framework of regulatory supervision letters SR 10-1 and SR 96-13 as guidance. Model Development and Stress Testing
Work closely with Model Development and Corporate Treasury to ensure the design, inputs, and results are fit for purpose (QRM) and properly represent the business needs. Build and manage independent interest rate risk benchmark and challenge tools to effectively challenge interest rate risk stress testing simulations, assumptions, decisions, results, and reporting. Review and challenge ALM simulation and scenario designs to ensure their accuracy, compliance, and alignment with industry standards and internal risk frameworks. Analyze market risk related model results and provide effective challenge of the methodology and model design. Data and Reporting
Interest rate risk related data review and aggregation, both internally and externally, to incorporate into challenge tools and peer analyses. Communicate findings effectively to both technical and non-technical stakeholders. Work with data visualization tools to create dashboards and real-time risk tracking tools. Collaboration with Key Stakeholders
Partner with the Treasury, Portfolio Management, and Finance teams to align on risk management strategies and optimize the interest rate risk profile. Support regular reviews and updates of risk policies, methodologies, and procedures. Support the identification and assessment of interest rate risk emerging and existing risks. Market Research and Strategy Support
Conduct research on macroeconomic factors, yield curves, and other financial data to inform risk strategies. Provide insights to support hedging activities and balance sheet management strategies. Research delta neutral basis for the Bank's at-risk interest income for hedging analysis. Support the Bank's efforts and readiness surrounding Category IV planning. As needed conduct ad hoc liquidity risk analyses. Provide backup on capital markets related challenges, and stress testing scenario design. Other duties as assigned.
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Risk Analysis and Monitoring
Review interest rate risk related materials provided by Corporate Treasury; including but not limited to ALCO materials, weekly markets meetings, modeling and stress testing assumptions and results, KRIs, and QRM consultations. Monitor market trends and key economic indicators that may affect interest rate risk. Provide oversight of securities purchases and conduct postmortem assessment of securities purchase analysis, including impact on duration, yield, liquidity, and hedge value. Attend tactical ALCO and the Weekly Markets meeting providing effective challenge and subject matter expertise where appropriate. Provide support to the annual review of interest rate risk under the framework of regulatory supervision letters SR 10-1 and SR 96-13 as guidance. Model Development and Stress Testing
Work closely with Model Development and Corporate Treasury to ensure the design, inputs, and results are fit for purpose (QRM) and properly represent the business needs. Build and manage independent interest rate risk benchmark and challenge tools to effectively challenge interest rate risk stress testing simulations, assumptions, decisions, results, and reporting. Review and challenge ALM simulation and scenario designs to ensure their accuracy, compliance, and alignment with industry standards and internal risk frameworks. Analyze market risk related model results and provide effective challenge of the methodology and model design. Data and Reporting
Interest rate risk related data review and aggregation, both internally and externally, to incorporate into challenge tools and peer analyses. Communicate findings effectively to both technical and non-technical stakeholders. Work with data visualization tools to create dashboards and real-time risk tracking tools. Collaboration with Key Stakeholders
Partner with the Treasury, Portfolio Management, and Finance teams to align on risk management strategies and optimize the interest rate risk profile. Support regular reviews and updates of risk policies, methodologies, and procedures. Support the identification and assessment of interest rate risk emerging and existing risks. Market Research and Strategy Support
Conduct research on macroeconomic factors, yield curves, and other financial data to inform risk strategies. Provide insights to support hedging activities and balance sheet management strategies. Research delta neutral basis for the Bank's at-risk interest income for hedging analysis. Support the Bank's efforts and readiness surrounding Category IV planning. As needed conduct ad hoc liquidity risk analyses. Provide backup on capital markets related challenges, and stress testing scenario design. Other duties as assigned.
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