IRRBB & ALM Subject Matter Expert

Mizuho
New York, NY
Category Finance
Job Description
We are seeking a highly skilled Interest Rate Risk in the Banking Book (IRRBB) & Asset–Liability Management (ALM) Subject Matter Expert with deep expertise in interest rate risk measurement, behavioral modelling, balance sheet analytics, and regulatory risk management frameworks. The ideal candidate will also bring hands-on experience designing, enhancing, or validating IRRBB quantitative models.

Requirements

  • Lead the development, enhancement, and maintenance of IRRBB measurement methodologies
  • Ensure alignment of IRRBB practices with Basel/US standards, regulatory expectations, and industry best practices
  • Manage and continuously improve behavioral assumptions for non-maturity deposits (NMDs), loan prepayments, early redemptions, and product optionality
  • Support the design and calibration of risk appetite metrics, limits, monitoring processes, and escalation protocols
  • Partner with Treasury and senior management to assess interest rate exposures and recommend hedging or balance sheet strategies
  • Develop, implement, or enhance IRRBB quantitative models, including NMD behavioral models, prepayment / early redemption models, repricing and yield curve models, dynamic balance sheet simulations, and replication portfolio methodologies
  • Lead or support model documentation, performance monitoring, back testing, and benchmarking
  • Collaborate with Model Validation to address findings, strengthen model robustness, and ensure end-to-end model lifecycle compliance
  • Perform advanced ALM analytics to support Treasury's strategic decision making
  • Deliver insights on hedging strategies, balance sheet duration positioning, and interest rate scenarios
  • Partner with Liquidity Risk, Capital Management, and Finance to assess interactions between IRRBB, liquidity, capital ratios, and earnings forecasts
  • Collaborate closely with Treasury, Market Risk, Finance, FTP, and IT to ensure consistent IRRBB frameworks and data integrity
  • Serve as a key point of contact during regulatory exams, audits, and internal risk reviews
  • Communicate model results, methodologies, and risk insights to senior management and committees
  • Support enhancements to ALM/IRRBB systems (Risk engines, ALM platforms, FTP engines)
  • Drive improvements in data quality, scenario management, and reporting automation
  • Work with quantitative and technology teams to implement new models and analytics into production environments

Benefits

  • Generous Paid Time Off
  • 401k Matching
  • Retirement Plan
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