Associate Director IRRBB

As an Associate Director, you will play a key second line of defense role in overseeing Interest Rate Risk in the Banking Book (IRRBB). You will be responsible for identifying, monitoring, and challenging key and emerging IRRBB risks, ensuring a robust governance framework, and supporting compliance with evolving regulatory expectations.

This role offers a meaningful opportunity to influence risk outcomes through independent oversight, analytical insight, and close collaboration with first line stakeholders, leveraging your expertise in banking, financial markets, and risk management.

Your role

• Monitor, review, and independently validate IRRBB metrics, including earnings and economic value-based measures, limits, and early warning indicators

• Identify key and emerging IRRBB risks, assess their potential impact, and ensure appropriate escalation and governance

• Review, challenge, and interpret stress test scenarios and sensitivity analyses, and model outputs to support risk-based decision-making.

• Work closely with first line ALM and Investment and Finance teams to provide effective challenge on methodologies, assumptions, data, and risk mitigation strategies

• Contribute to the design, enhancement, and governance of stress testing frameworks and controls related to IRRBB and structural balance sheet risks

• Prepare and present in-depth historical and forward-looking analyses to support discussions with senior stakeholders and decision-making bodies.

• Participate in the external disclosure and internal reporting processes, ensuring accuracy, consistency, and regulatory alignment

Your team

The ALM, Investment and Pension Fund Risk Oversight team in the second line of defense provides independent oversight of the Bank’s balance sheet and market-related risks, including:

• Interest Rate Risk in the Banking Book (IRRBB), including regulatory metrics and stress testing

• Structural FX risk

• Oversight of Treasury and investment activities

The team plays a critical role in supporting senior management by delivering clear, timely, and risk-based insights, while maintaining strong independence from the first line of defense.

Requirements

• University degree in a quantitative or finance related discipline
• Minimum 5 years of relevant experience in risk management, treasury, or ALM, with strong IRRBB expertise
• Very good understanding of balance sheet risk management, IRRBB frameworks, stress testing, and regulatory expectations
• Ability to analyze, interpret, and challenge risk metrics, stress test results, and model outputs
• Experience with data analysis and programming (QRM, Python, SQL)
• Demonstrated experience designing and developing dashboards to support risk monitoring, data analysis, and decision-making
• Strong analytical mindset, attention to detail, intellectual curiosity, and sound judgment
• Ability to communicate risk insights clearly and engage constructively with first line and senior stakeholders

Minimum of 3 days per week in the office