Senior - IRRBB, CSRBB & Liquidity | MI

Overview

In this role you help clients in the financial sector strengthen liquidity, interest rate, and credit spread risk management. You will join the Milan Financial Risk team to work on IRRBB, CSRBB and Liquidity Risk projects for leading banks, translating complex risk concepts into actionable models and analyses. You will build and validate behavioral models, estimate EVE/NII, and assess short- and long-term liquidity indicators, contributing to resilient, data-driven decision-making. This opportunity pairs technical challenge with an inclusive, development-focused culture and hybrid work.

Retribuzione / Benefits

• hybrid work arrangements
• advanced training and development programs
• international mindset and innovative projects
• focus on mental and physical well-being
• inclusive work environment
• equal opportunity employer

Responsabilità

• Identify, measure and monitor liquidity risk and banking-book interest rate risk (IRRBB) and credit spread risk
• Develop and validate behavioral models (NMD, prepayments, line draws, etc.)
• Model banking products for EVE and NII estimation
• Calculate and analyze key liquidity indicators (LCR, NSFR)
• Apply/calibrate stress scenarios for IRRBB, CSRBB, liquidity risk, including climate & environmental risk considerations

Requisiti fondamentali

• 2+ years in risk management for banks, credit institutions, or top consulting firms on Liquidity Risk and/or IRRBB/CSRBB & ALM projects
• Bachelor's degree in business or science
• excellent English proficiency (including international exposure preferred)
• proficiency with MS Office
• knowledge of programming languages such as XGBoost, Python, R, Matlab, Stata is a plus
• teamwork
• clear communication in English
• problem solving
• risk management in banking
• IRRBB and CSRBB
• ALM