State Street

Job Description

For our Enterprise Risk Management – Global Treasury Risk Management department in our company State Street in Munich we are looking for a Risk Manager Interest Rate Risk (m/f) – Job ID 173269.

Major responsibilities

  • Support and enhance risk oversight including the  measuring, reporting and monitoring of Interest Rate Risk, Credit Spread Risk and Pension Risk
  • Prepare and analyze EVE and NII reporting based on QRM
  • Enhance and back-test behaviouralization models and assumptions used in QRM, e.g. for prepayment and liabilities behaviouralization models
  • Drive work streams related to the ongoing enhancement of the Global Treasury Risk Management process and support the internal capital adequacy assessment process (ICAAP) by providing risk modelling expertise in line with industry best practice
  • Analyze complex structured securities to understand the inherent risks of embedded optionalities
  • Engage in detailed model discussions with MVG and regulators
  • Support the Treasury Risk related work streams of the 2018 European Central Bank stress test
  • Assist in the development of portfolio optimization procedures/balance sheet strategy recommendations
  • Report and assess the impact of emerging treasury risk regulations 
  • Collaborating with other teams including the Model Validation Group, Global Treasury, Finance or Regulatory Reporting

Education, Experience and Skills

  • Advanced degree in Economics, Finance, Statistics or related field 
  • CFA, FRM or related candidates a benefit
  • Detailed familiarity with QRM and Intex (ALM vendor software) is required
  • Several years of experience in Treasury, ALM or Market Risk activities, or risk management and regulatory concerns related to those disciplines
  • Knowledge of European and German regulation is a plus
  • Strong quantitative, statistical aptitude/skills, with a focus on data analytics
  • Strong verbal and written communication skills in English language, with ability to articulate effectively ideas and highly technical concepts to non-technical audiences and senior management
  • Self-starter with willingness to work in a fast-paced, high-energy level environment


Job Opening ID