IRRBB Manager
WFA Digital Insight
As demand for financial modeling specialists grows, Mercury seeks an experienced IRRBB Manager to drive cash flow engine implementation and IRR analytics. With the global financial sector projected to increase by 10% in the next year, professionals with expertise in asset-liability management and behavioral modeling are in high demand. This role stands out for its focus on interest rate risk management and its potential for impact on balance sheet strategy. Before applying, candidates should be aware of the need for strong analytical skills, proficiency in Excel, and experience in banking or financial services.
Job Description
About the Role
The IRRBB Manager will play a crucial role in leading the implementation, management, and ongoing enhancement of Mercury's cash flow engine. This involves modeling balance sheet cash flows, supporting interest rate risk analytics, and ensuring the integrity of key metrics such as Net Interest Income (NII) and Economic Value of Equity (EVE). The ideal candidate will bring a strong understanding of asset-liability management, behavioral modeling, and financial modeling frameworks, along with the ability to translate complex assumptions into actionable insights.The successful candidate will be part of a cross-functional team, working closely with Finance and Risk teams to ensure alignment of modeling assumptions and outputs. They will be responsible for designing, documenting, and supporting behavioral assumptions, such as prepayments, deposit decay, and non-maturity deposit modeling. The role will also involve performing scenario analysis and sensitivity testing to support balance sheet strategy and risk management.
As a key member of the team, the IRRBB Manager will contribute to the development of a scalable modeling infrastructure that evolves with the business. They will identify opportunities to improve automation, efficiency, and model sophistication, ensuring data integrity, model accuracy, and compliance with internal policies and regulatory expectations.
What You Will Do
- Support the vendor selection and system implementation of the firm's cash flow engine / ALM system
- Develop, maintain, and enhance cash flow models for assets and liabilities used for risk monitoring and balance sheet forecasting
- Produce and analyze interest rate risk metrics, including NII and EVE under various scenarios
- Design, document, and support behavioral assumptions, such as prepayments, deposit decay, and non-maturity deposit modeling
- Partner with Finance and Risk teams to ensure alignment of modeling assumptions and outputs
- Perform scenario analysis and sensitivity testing to support balance sheet strategy and risk management
- Ensure data integrity, model accuracy, and compliance with internal policies and regulatory expectations
- Support model validation, audit, and regulatory review processes
- Identify opportunities to improve automation, efficiency, and model sophistication
What We Are Looking For
- Bachelor's degree in Finance, Economics, Mathematics, Engineering, or a related field (advanced degree preferred)
- 5+ years of experience in bank ALM, bank Treasury, IRR modeling, or quantitative finance
- Strong understanding of bank balance sheets, products, and cash flow drivers
- Experience developing and supporting behavioral models and assumptions (e.g., deposits, loans, prepayments)
- Hands-on experience with ALM or cash flow engine platforms (e.g., QRM, Empyrean, BancWare, or similar)
- Strong quantitative and analytical skills; proficiency in Excel and/or programming tools (Python, SQL, R a plus)
- Ability to communicate complex modeling concepts to non-technical stakeholders
Nice to Have
- Experience in banking or financial services
- Familiarity with regulatory expectations for IRRBB and model risk management
- Experience with model validation or governance frameworks
- Strong problem-solving mindset with attention to detail
Benefits and Perks
- Competitive base salary and equity package
- Opportunities for professional growth and development
- Collaborative and dynamic work environment
- Flexible working hours and remote work options
- Access to cutting-edge technologies and tools
- Comprehensive health insurance and benefits package
- Generous PTO and paid holidays
- Ongoing training and education opportunities
- Recognition and reward for outstanding performance
How to Stand Out
- Develop a strong understanding of financial modeling and asset-liability management principles to stand out as a candidate.
- Showcase your proficiency in Excel and programming tools like Python or SQL, and be prepared to provide examples of your work.
- Highlight your experience in banking or financial services, and emphasize your ability to communicate complex concepts to non-technical stakeholders.
- Prepare to discuss your approach to scenario analysis and sensitivity testing, and how you ensure data integrity and model accuracy.
- Research Mercury's company culture and values, and be prepared to discuss how your skills and experience align with their goals and mission.
- Be prepared to negotiate your salary and benefits package, and have a clear understanding of your market worth.
- Look for red flags such as a lack of clear communication about the role or expectations, or a lack of opportunities for professional growth and development.
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