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MercuryMercurySan Francisco, CA

IRRBB Manager

Leads implementation and management of cash flow engine for modeling balance sheet cash flows, IRR analytics including NII/EVE, and behavioral assumptions. Requires 5+ years in bank ALM/IRR, quantitative skills, and proficiency in Excel/Python/SQL.

187k – 260k/yr
Remote5+ YOEFinance & Accounting

About the role

Key Responsibilities

  • 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 that will be 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 (e.g., prepayments, deposit decay, betas, 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

Qualifications

  • 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
    • Net Interest Income (NII) modeling
    • Economic Value of Equity (EVE)
    • Interest rate risk frameworks
    • Cash flow hedging
  • 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

Preferred Skills

  • 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

Compensation

Target new hire base salary ranges:

  • US employees in New York City, Seattle, Los Angeles or San Francisco: $207,800 - $259,800
  • US employees outside of New York City, Seattle, Los Angeles or San Francisco: $187,000 - $233,800
  • Canadian employees (any location): CAD 196,400 - 245,500

Skills

AlmIrrbbNiiEvePythonSQLRExcelQrmEmpyreanBancware
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