Our client's Risk Management department seeks a highly skilled quantitative professional to join the Financial & Climate Risk team as a Quantitative ALM & IRRBB Risk Model Specialist. This second-line-of-defense role sits at the intersection of Asset & Liability Management (ALM), Interest-Rate Risk in the Banking Book (IRRBB), regulatory compliance (ICAAP/ILAAP), and IFRS 9 credit-risk modeling. The ideal candidate possesses deep expertise in interest-rate and liquidity-risk analytics, strong model-validation capabilities, and the ability to challenge first-line risk assumptions and methodologies.Key ResponsibilitiesModel Governance & ValidationIndependently validate ALM and IRRBB models, including EaR, EVE, liquidity-coverage (LCR), net stable funding ratio (NSFR), and deposit-behavior models.Critically challenge model assumptions, input data, parameterizations, and calibration methodologies used by first-line teams.Document model-risk assessments, back-testing results, and remediation plans in accordance with internal policy and regulatory expectations.Quantitative Risk AnalyticsDevelop advanced quantitative frameworks for measuring interest-rate risk (parallel and non-parallel yield-curve shocks), liquidity-risk exposures, and stress-testing scenarios.Build and maintain stochastic simulation engines for scenario analysis that integrate forward-looking macroeconomic drivers (GDP, inflation, unemployment) and IFRS 9 expected-credit-loss projections.Perform sensitivity analyses on net interest income (NII), economic value of equity (EVE), and capital adequacy under a variety of market and credit scenarios.ALM & IRRBB Policy & DashboardsDesign and refine ALM policies, risk-appetite limits, and key-risk indicators (gaps, durations, concentration metrics).Collaborate with ERM to create interactive dashboards and automated reporting tools for ICAAP/ILAAP, ensuring alignment with risk-appetite frameworks and regulatory requirements.Present quantitative findings and recommendations to senior management, audit committees, and regulatory supervisors.Regulatory Compliance & Stress TestingOversee compliance with BCBS IRRBB principles and CRD IV/CRR requirements, including Pillar 2 expectations for capital and liquidity adequacy.Lead the design and execution of liquidity- and interest-rate stress tests (IRRBB, CSRBB, EVE-SOT, MNI-SOT), ensuring integration of IFRS 9 macroeconomic overlays.Coordinate with internal and external auditors, and prudential authorities, to support regulatory submissions and inspections.Challenge & Escalation MechanismAct as an independent challenger to first-line ALM decisions, ensuring robust governance and timely escalation of risk-limit breaches.Engage in cross-functional forums to drive continuous enhancement of risk-management practices and model-governance standards.Mentor junior risk-modeling colleagues and foster a culture of quantitative rigor and constructive challenge.Required QualificationsAdvanced degree (MSc/PhD) in Financial Engineering, Quantitative Finance, Applied Mathematics, Statistics, Economics, or related discipline.Minimum 5 years’ experience in ALM, IRRBB, or interest-rate and liquidity-risk analytics at a financial institution.Proven expertise in model validation, back-testing, and quantitative risk-management frameworks.Strong programming skills in Python, R, MATLAB, or equivalent; experience with risk-modeling libraries and data-visualization tools.In-depth knowledge of IFRS 9 ECL methodologies and Basel III liquidity and interest-rate-risk regulations.Excellent communication skills, with demonstrated ability to present complex quantitative analyses to senior stakeholders and regulators.Professional certifications (e.g., FRM, CFA) or model-governance accreditation are a plus.
