Job Description

Job Title: Structural Market Risk Oversight Manager

Location: Chicago, IL (Hybrid - 4 days a week in office)

Primary Skills: Market Risk, Asset Liability Management, Quantitative Financial Modeling

Duration: 6 months

Contract Type : W2 only

Role Mandate:

• In this role, you will be able to understand how the Bank manages its interest rate risk and provide effective challenge on existing modelling assumptions and strategies.
• You will work closely with stakeholders across Risk and Finance and observe the connections between various Treasury Risk functions (ALM, Funds Transfer Pricing, Capital, Liquidity & Funding).
• The group focuses on interest rate risk, oversees corporate treasury, and functions as second line oversight.

Role Responsibilities:

• Analyzes the risk metrics (Economic Value of Equity, PV01, Earnings at Risk…) from modelling, interest rate, and balance sheet changes/movements.
• Monitors structural market risk limits set by the bank as a second line of defense function. Deviations and excesses from structural market risk limits require investigation and sign-off from executives.
• Reviews and challenges models and non-model assumptions
• Prepares presentations and materials on structural market risk position to be discussed at committee meetings comprised of senior leaders of Market Risk and Corporate Treasury
• Supports audit and regulatory findings remediation efforts
• Conducts research and develops tools that use data to make better decisions
• Applies knowledge of risk assessment and controls along with extensive understanding of industry compliance standards and regulations.
• Identifies ways of mitigating potential risks; recommends and implements solutions based on analysis of issues and implications for the business.
• Documents data flow, systems and processes to improve the design, implementation and management of business/group processes.
• Conducts quantitative research in risks across strategies and portfolios.
• Works independently and regularly handles non-routine situations.
• Review structural market risk models and assumptions
• Risk committee reporting & analysis
• Working with QRM to extract data and reports for analysis

Must Have Skills:

• Typically between 5 - 7 years of relevant experience and post-secondary degree in related field of study or an equivalent combination of education and experience.
• Microsoft Office

Foundational level of proficiency:

• Regulatory capital and stress testing.
• Compliance and regulation.
• Machine learning.
• Learning Agility.
• Systems Thinking.

Intermediate level of proficiency:

• Asset liability management
• Model risk management.
• Data management.

Advanced level of proficiency:

• Quantitative financial modeling.
• Deep knowledge and technical proficiency gained through extensive education and business experience.

Nice to Have Skills:

• QRM experience

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