Interest Rate Risk in the Banking Book Oversight Risk Associate

Role Description

Sumitomo Mitsui Banking Corporation (“SMBC”) is seeking an Associate to join the Treasury Risk Management group for the Interest Rate Risk in the Banking Book (IRRBB) & Portfolio Mark-to-Market (MTM) Risk oversight. 
The Treasury Risk Management group is a risk function within the Risk Management Department Americas Division (RMDAD) that oversees the treasury risks and balance sheet strategy of SMBC branches and subsidiaries in the region; the group provides risk oversight that extends to liquidity risk, interest rate risk in the banking book, and capital management, and independently assesses business strategies that impact these risks. The mandate of the group is to ensure that all treasury risks are adequately identified, measured, controlled, monitored and reported.
The group works closely with the SMBC risk management department in Tokyo Head Office that oversees the consolidated SMFG $2+ Tr. balance sheet risks.
The associate within the IRRBB & Portfolio MTM Risk Oversight team will be part of a small team with a mandate to oversee IRRBB and Portfolio MTM risk for the ~$300B combined balance sheet across different legal entities and jurisdictions in the region.
The position requires some technical expertise in interest rate risk management and portfolio MTM risk, and related valuation methodologies. The position offers a great opportunity to gain a broader view of a bank balance sheet and balance sheet strategy.

Role Objectives

• Support ongoing independent oversight of the IRRBB and Portfolio MTM risk exposures for SMBC branches and legal entities in the Americas region, including risk metrics such as Economic Value of Equity (EVE) and Net Interest Income (NII) sensitivities to interest rates.
• Support ongoing review and challenge of the IRRBB and Portfolio MTM risk management framework, including assumptions, approaches, and methodologies adopted in the measurement of IRRBB and Portfolio MRM risk. 
• Support enhancements to the second-line IRRBB and Portfolio MTM risk oversight framework. 
• Support analyses and reports presented to senior management and internal committees.
• Ensure timely escalation of risk issues and limit breaches to senior management.
• Support and participate in engagements with local regulators in the region.
• Ensure documentation of the team’s processes and support process automation as appropriate.
• Establish collaborative relationship with the first-line Treasury function.

Qualifications and Skills

• 3+ years of IRRBB risk experience in the first or second line.
• Understanding of balance sheet products and risks
• Understanding of U.S. regulatory requirement for IRRBB. 
• Understanding of methods and approaches used for the quantification of IRRBB. These include but are not limited to earnings, NII and EVE sensitivities and deposit modeling. 
• Familiarity with QRM system is a plus.
• Strong interpersonal skills. 
• Extremely well-organized and structured. 
• Ability to deliver under tight deadlines and manage a variety of projects simultaneously.
• Excellent verbal and written communication skills.