Director, Interest Rate Risk

ATB; Calgary; On-site; CAD 180,000 - 230,000; Full time

Job summary

ATB Financial is seeking a Director, Interest Rate Risk (IRR) to lead quantitative modeling and regulatory reporting within the ALM team. The role safeguards the bank’s non-trading balance sheet from macro volatility and informs ALCO decisions.

You will transform complex balance sheet simulations into strategic insights while driving regulatory compliance with OSFI B-12 and Basel guidelines. A track record in IRRBB and team leadership is essential.

Qualifications

• CFA charterholder and/or FRM designation with a related degree (Economics/Math/Statistics/Finance/Business).
• Seven+ years in Treasury/ALM/Balance Sheet Management or IRR management with hedge accounting knowledge.
• Deep knowledge of OSFI B-12 and Basel IRRBB requirements for Canadian banks.
• Proficient with SQL and Python; experience with GCP BigQuery and SAP is a plus.
• Strong ability to present complex data to executives and regulators.

Responsibilities

• Translate IRRBB metrics into balance sheet strategies and macro-hedging actions.
• Own end-to-end regulatory reporting under OSFI B-12 and Basel Pillar 3.
• Lead quantitative risk modeling including EVE and NII at Risk and develop stress tests.
• Maintain model governance and data lineage; defend methodologies to Second-Line.
• Lead and mentor a team of IRR professionals and foster cross‑functional collaboration.

Skills

Strong communication skills

Leadership experience

Quantitative risk modeling

SQL

Python

Education

CFA charterholder or FRM designation

Master’s or Bachelor’s degree in Economics/Math/Statistics/Finance/Business

Tools

SQL

Python

BigQuery (GCP)

SAP

Job description

At ATB, we exist to make it possible for our clients, team members and communities. Our purpose is more than aspirational. It's a real commitment we live every day through our values (what we call the ATB ID).

Life at ATB is about more than work. In fact, we’re consistently recognized as one of Canada's top employers thanks to our high-care, high-performance culture, upheld by the three commitments we make to our team members:

Impact in action: No matter where you are in the organization, you're empowered to make an impact in the lives of our clients and communities.

Thrive together: We want you—the unique, authentic you—to feel safe and celebrated at work. We're on a continuous journey to build the most flexible and inclusive programs.

Ready for tomorrow: We want to enable your success through interesting and challenging work, performance enablement, and learning and development.

About the role

This position has a hybrid work arrangement. On average, this means 2 days on-site per week. Please note that this is subject to change due to business priorities.

As ATB’s next Director, Interest Rate Risk (IRR), a critical strategic anchor within our Treasury Asset Liability Management (ALM) team, you will lead the quantitative modeling and regulatory reporting architecture for Interest Rate Risk in the Banking Book (IRRBB), directly safeguarding the bank’s non-trading balance sheet from adverse macroeconomic volatility. In this role, you will transform complex balance sheet simulations into high-impact strategic insights for the Asset-Liability Committee (ALCO), directly driving the bank’s structural hedging decisions and ensuring strict compliance with regulatory guidelines. This position demands a proven track record of managing and developing a team, outstanding communication and interpersonal capabilities, and progressive experience in IRRBB management and modeling within Canadian financial institutions.

Accountabilities

• Strategic Impact & Treasury Alignment: Translate complex IRRBB risk metrics into actionable balance sheet strategies, influencing internal macro-hedging actions designed to protect the bank's net interest margin.
• Regulatory Architecture & Reporting: Own the end-to-end production, validation, and submission of regulatory reports, ensuring compliance with OSFI B-12 guidelines and Basel Pillar 3 disclosure requirements.
• Advanced Quantitative Risk Modeling: Execute and continuously improve Economic Value of Equity (EVE) and Net Interest Income (NII) at Risk simulations and formulate stress testing scenarios tailored to the Canadian macroeconomic landscape.
• Model Governance & Stakeholder Engagement: Maintain exceptional model documentation and data lineage standards, defending core assumptions and methodologies to Second-Line of Defense oversight while developing strong partnerships with both internal and external stakeholders.
• Team Leadership, Development & Collaboration: Champion a high-performance culture by leading, mentoring, and actively developing a team of IRR professionals. Drive strategic innovation and professional growth while fostering cross-functional collaboration across the broader ALM and Treasury teams.

Skills, experience & requirements

• Professional Credentials: A CFA charterholder and/or FRM designation, complemented by a master’s or bachelor’s degree in Economics, Mathematics, Statistics, Finance, Business, or a related field.
• Extensive Experience: Seven or more years of experience in Treasury, Asset Liability Management, Balance Sheet Management, or Interest Rate Risk Management supplemented by functional knowledge of hedge accounting.
• Regulatory Knowledge: Deep, technical familiarity with Canadian banking regulations, specifically OSFI Guideline B-12 and international Basel Committee (BCBS) framework standards for IRRBB.
• Technical Expertise: Direct, hands‑on experience utilizing institutional ALM modeling software coupled with advanced proficiency in SQL and scripting experience in Python. Knowledge and/or previous experience with GCP platforms (BigQuery) and banking ERP systems (SAP) is considered a strong asset.
• Communication & Influence: A proven ability to synthesize complex quantitative data into clear, compelling narratives and presentations for senior executives, Second and Third-Lines of Defence, and regulatory stakeholders.

Don’t meet all the requirements on the list?
A resume only goes so far in expressing who you are and the unique perspectives you bring. If you believe your skills and experience align with the role—but you might not check all the boxes—we want to hear from you. If you’re seeking a career where your drive, perspective and growth are celebrated, we want to hear from you.

We encourage candidates from all work backgrounds, equity-seeking communities and experience levels to apply.

We’re dedicated to building a workforce reflective of those within our communities, and a culture where our team members are equipped with what they need to succeed—their way.

Part of creating an inclusive workplace is recognizing our role in advancing Truth and Reconciliation. We are committed to meeting and exceeding the standards set out in the Partnership Accreditation in Indigenous Relations program created by the Canadian Council for Aboriginal Business.