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Structural Market Risk and Balance Sheet Management

  • Job type: Permanent
  • Location: Chicago, Illinois
  • Salary: US$115000 - US$150000 per year + Bonus + Benefits
  • Job reference: 207931/001_1536189324
  • Sector: Selby Jennings, Risk Management
  • Date posted: 05/09/2018

Premier North American Investment bank is seeking a hands-on market risk professional at the senior associate or junior VP level to join a dynamic risk management team that is responsible for Structural Market Risk. The investment bank has one of the strongest working cultures in the industry and is recognized as a leader in providing excellent career progression, benefits, and work/life balance.

The incoming individual will be expected to develop comprehensive oversight of structural market risks for the firm while cultivating a deep understanding of balance sheet risk. In a rising interest rate environment, this function will be instrumental in delivering proper risk management functionality for the investment bank across various stakeholders.

On a day to day, the incumbent will spearhead interest rate risk analysis while also analyzing modelling assumptions used to model structural market risk. These could include deposit lives, behavioral assumptions, valuations, and so forth. On a day to day, they will design meaningful stress scenarios for key assumptions and be expected to institutionalize the use of stress test results while providing effective challenge.

Responsibilities

  • Perform interest rate risk analysis for the banking book
  • Develop stress scenarios for key assumptions and provide effect challenge as needed
  • Asses the appropriateness of key assumptions
  • Serve and function as the second line of defense of structural market risk/liquidity risk

Requirements

  • 3-12 years experience in structural market risk, 1st or 2nd line liquidity risk, or market risk team covering interest rates
  • Understanding of interest rate risk for the banking book
  • Experience in designing liquidity stress scenarios and methodologies
  • Knowledge of balance sheet management systems, QRM preferred, Bancware also relevant
  • Programming expertise is a plus
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