Overview
We are seeking a SVP / Senior Manager to support the quantitative analysis and oversight of Interest Rate Risk in the Banking Book (IRRBB) within the Liquidity & Structural Risk function.
This role will focus on the analytics and modelling of structural balance sheet risk, including the analysis of NII and EVE sensitivities, behavioral assumptions and interest rate stress scenarios.
The position will work closely with Treasury, ALM and Finance teams, providing analytical insights and independent challenge on balance sheet positioning, hedging strategies and IRRBB modelling assumptions.
Key Responsibilities
- Analyse and monitor the bank’s IRRBB exposure, including EVE and NII sensitivities across different interest rate scenarios.
- Assess the structural drivers of interest rate risk across the balance sheet, including repricing dynamics, behavioral assumptions and earnings sensitivity.
- Review and challenge key modelling assumptions, particularly for non-maturity deposits, deposit betas and loan prepayment behaviour.
- Provide independent analytical challenge to Treasury and ALM strategies, including balance sheet positioning and hedging approaches.
- Support the development and enhancement of IRRBB analytics, balance sheet simulations and interest rate scenario analysis.
- Contribute to the preparation of risk analysis and materials for governance forums, including ALCO.
- Collaborate with the liquidity risk team on topics where interest rate risk and funding dynamics intersect.
- Ensure adherence to IRRBB standards and relevant regulatory guidelines.
Experience & Skills
- 8–12 years of experience in financial risk management within banking.
- Strong background in IRRBB, ALM Risk, Structural Balance Sheet Risk, or Treasury Risk analytics.
- Hands-on experience analyzing NII and EVE sensitivities and interest rate stress scenarios.
- Experience reviewing IRRBB modelling assumptions, including deposit behaviour and balance sheet dynamics.
- Strong analytical skills and ability to translate quantitative analysis into clear insights for senior stakeholders.
Technical Skills (Preferred)
- Experience with ALM / IRRBB systems such as QRM, Bancware, RiskPro, Murex ALM, or similar platforms.
- Analytical programming experience such as Python, R or SQL is advantageous.
Education
- Degree or Master’s in Mathematics, Engineering, Economics, Finance, or another quantitative discipline.
- Professional certifications such as FRM or CFA are a plus.
All qualified applicants will receive consideration for employment without regard to race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.
With respect to this position in our New York Office, the expected base salary ranges from $180,000 to $200,000. It is not typical for offers to be made at or near the top of the range. Salary offers are based on a wide range of factors including relevant skills, training, experience, education, and, where applicable, certifications obtained. Market and organizational factors are also considered. In addition to salary and a generous employee benefits package, successful candidates are eligible to receive a discretionary bonus.
*Employment eligibility to work with BBVA in the U.S. is required as the company will not pursue visa sponsorship for these positions
