IRRBB SME - Principal Consultant

Location: London
Role Level: Principal Consultant

The IRRBB SME will play a critical role in managing interest rate risk within the banking book. This position involves providing expert guidance on IRRBB metrics, developing transfer pricing methodologies, and ensuring compliance with Basel regulations. The role requires strong collaboration with risk, finance, treasury, and technology teams to enhance risk measurement, reporting, and analytics capabilities.

Key Responsibilities:

1. Interest Rate Risk Management

   • Analyze interest rate risk exposures using advanced modeling techniques, including balance sheet modeling, Net Interest Income (NII), Economic Value of Equity (EVE), Value at Risk (VaR), and stress testing.

2. Regulatory Compliance & Reporting

   • Ensure adherence to Basel III/IV IRRBB regulatory guidelines and internal risk policies.

   • Support regulatory reporting efforts, including stress testing and ICAAP submissions.

3. Risk Modeling & Analytics

   • Implement and enhance IRRBB risk metrics.

   • Develop and validate risk scenarios to support stress testing frameworks.

   • Collaborate with quantitative teams to refine risk measurement methodologies.

4. Stakeholder Collaboration & Advisory

   • Provide subject matter expertise on IRRBB to business units and risk management programs.

   • Work closely with Treasury, Finance, and ALM teams to develop and refine risk metrics.

   • Partner with IT and data teams to improve risk analytics and reporting infrastructure.

5. Technology & Automation

   • Support technology teams in enhancing risk measurement and reporting systems.

   • Identify automation opportunities to improve efficiency in IRRBB risk reporting and analytics.

Technical Expertise:

1. Experience in risk management, treasury, ALM, or IRRBB within a financial institution.

2. Strong knowledge of Basel IRRBB regulations, ICAAP, and stress testing requirements.

3. Expertise in risk measurement methodologies, including NII sensitivity, EVE, VaR, and behavioural modeling of deposits.

4. In-depth understanding of financial instruments such as fixed-income securities, loans, deposits, and derivatives.

5. Proficiency in ALM tools (e.g., QRM, BancWare, RiskPro) and experience with programming languages like SQL, Python, or R for risk analytics.

Soft Skills:

1. Strong analytical and problem-solving abilities.

2. Excellent communication and stakeholder management skills.

3. Ability to present complex risk concepts to senior management and regulatory bodies.

Preferred Qualifications:

• MBA, CFA, FRM, or equivalent degree in Finance, Economics, Risk Management, or related fields.

• Professional certifications such as FRM (Financial Risk Manager) or PRM (Professional Risk Manager) are preferred.

• Prior experience in regulatory reporting or working with regulatory bodies (e.g., ECB, PRA, FED) is advantageous.

Who We Are:

Delta Capita Group (a member of the Prytek Group) is a global managed services, consulting, and solutions provider with a unique combination of experience in Financial Services and technology innovation capability.

Our mission is to reinvent the financial services value chain providing technology-based mutualised services for financial institutions for non-differentiating services.

Our 3 offerings are:

• Managed Services

• Consulting & Solutions

• Technology

To know more about Delta Capita (DC) and our culture click here: Working at DC - Delta Capita .

How We Work:

Delta Capita is an equal opportunity employer. We positively encourage applications from suitably qualified and eligible candidates regardless of age, colour, disability, national origin, ancestry, race, religion, gender, sexual orientation, gender identity and/or expression, veteran status, genetic information, or any other status protected by applicable law.

We will ensure that individuals with disabilities are provided reasonable accommodation to participate in the job application or interview process, to perform essential job functions, and to receive other benefits and privileges of employment. If you require any reasonable adjustments through your interview process, please use the designated space within the application questionnaire.

As the selection and interview process is ongoing, please submit your application in English as soon as possible. If your profile is selected, a member of our team will contact you within 4 weeks. For this role, a valid working permit for London is mandatory.