Enterprise Market Risk Quantitative Analyst (IRRBB & CSRBB), AVP

Role Overview

[Employer hidden] is seeking an Assistant Vice President – Quantitative Analyst to join the Centralized Modelling, Analytics & Operations (CMAO) team within Enterprise Risk Management. CMAO develops and maintains risk‑measurement models across both the banking book and the trading book.

The initial focus of this role is to support key enhancements to Interest Rate Risk in the Banking Book (IRRBB) and Credit Spread Risk in the Banking Book (CSRBB). This involves hands‑on modelling, analytics, documentation, and close partnership with senior team members responsible for the overall framework.

As skills and capacity allow, the AVP may also gain exposure to broader Enterprise Market Risk modelling, including trading‑book interest‑rate and credit‑spread risk, making this an excellent development role for someone who wants to expand into cross‑book market‑risk modelling.

The position is based in the United States with regular collaboration with colleagues in the UK and EMEA.

Key Responsibilities

• IRRBB & CSRBB Analytics and Model Enhancement (Primary Focus)
• Support enhancements to IRRBB/CSRBB methodologies in QRM, including EVE and NII modelling.
• Perform detailed analysis of sensitivities, behavioural assumptions, scenario impacts, and attribution of results.
• Assist with ensuring analytics are produced consistently and align with risk‑appetite and governance expectations.
• Help diagnose issues in model configuration, data inputs, and scenario behaviour.
• Documentation, Review Support, and Governance Preparation
• Contribute to technical documentation describing model assumptions, methodology, configuration, and limitations.
• Prepare analysis for senior‑management committees, model‑risk review, and internal challenge sessions.
• Support responses to Model Risk Management, Internal Audit, and oversight groups by assembling evidence, data extracts, and explanations.
• Broader Market‑Risk Modelling (Development Opportunity)
• Assist with cross-book analytical work across banking‑book and trading‑book interest‑rate and credit‑spread risk.
• Contribute to enhancements in risk‑factor modelling, scenario design, sensitivities, and stress testing.
• Work with Global Markets Risk teams on market‑data analysis, curve construction, and spread analytics.
• Cross‑Functional Analytical Support
• Collaborate with CMAO, Treasury, Model Risk Management, and regional teams.
• Communicate technical results clearly to colleagues with varying quantitative backgrounds.
• Manage workloads across multiple workstreams and deliver high‑quality work within timelines.

Qualifications & Experience

Essential

• Advanced degree in a quantitative discipline.
• 3–6 years of experience in IRRBB/CSRBB, ALM, market risk, model development, or related analytics.
• Working experience with QRM.
• Strong analytical and programming skills in Python, R, or similar.
• Understanding of IRRBB/CSRBB regulatory expectations.
• Ability to produce clear technical documentation.

Desirable

• Exposure to trading‑book market‑risk analytics or derivative pricing.
• Experience supporting model validation or audit.
• Familiarity with risk‑factor modelling, sensitivity calculations, or scenarios.
• Experience handling large and complex market‑data sets.

Soft Skills

• Strong written and verbal communication skills.
• Curiosity and willingness to grow across banking‑book and trading‑book risk domains.
• High attention to detail and organisational skills.
• Ability to work in dynamic environments.