Vice President, Market and Liquidity Risk

BNY; Frankfurt; On-site; EUR 140,000 - 210,000; Full time

Job summary

BNY Mellon is seeking a Vice President, Market and Liquidity Risk in Frankfurt to strengthen IRRBB oversight and risk governance. The role focuses on challenging management processes, maintaining limit frameworks, and evaluating new products and structural changes within a strict regulatory framework.

The candidate will collaborate with ALM and liquidity teams, develop risk analytics, and support governance forums with senior management.

Qualifications

• Bachelor's degree or equivalent experience required; Master’s degree preferred.
• Strong quantitative background with practical experience in interest rate risk and capital/liquidity frameworks.
• Familiarity with European regulatory frameworks: EBA IRRBB/CSRBB Guidelines, CRD/CRR, ECB SSM expectations, ICAAP/ILAAP, SREP, and stress testing practices.

Responsibilities

• Independently review and challenge IRRBB management processes across BNY Group entities, covering measurement, limits, controls, reporting, and governance in line with applicable IRRBB/CSRBB guidelines, requirements and supervisors’ expectations.
• Own and enhance the IRRBB limit framework, including EVE and NII sensitivities, behavioral assumptions, interest rate shock scenarios, basis/spread risk, and optionality.
• Assess IRRBB aspects of new products/services, business process changes, and structural changes, including capital and liquidity implications under applicable regulation.
• Perform in-depth risk analysis, reporting, and monitoring aligned to established practices, including supervisory outlier tests, stress/scenario analysis, and attribution of IRRBB drivers.
• Conduct deep dives on asset classes and portfolios, including surveillance, valuation approaches, impairment linkages, and end-to-end risk management evaluation.
• Collaborate with governance forums and risk committees; prepare materials for second-line challenge and senior stakeholder engagement.
• Partner with portfolio managers, ALM, and business teams on emerging risks and ensure alignment with risk appetite and regulatory constraints.
• Work with Liquidity Risk and Capital Risk to ensure integrated oversight and a holistic view of risk drivers.

Skills

Quantitative skills

IRRBB analytics

Regulatory knowledge

Communication

Stakeholder management

Education

Bachelor's degree

Master's degree

Tools

QRM

ALM tools

Job description

Job Description

We’re seeking a future team member for the role of Vice President, Market and Liquidity Risk to join our team. This role is located in Frankfurt, Germany.

Job Description

We’re seeking a future team member for the role of Vice President, Market and Liquidity Risk to join our team. This role is located in Frankfurt, Germany.

BNY’s Treasury function manages the firm’s balance sheet and financial resources, optimizing net interest income while balancing capital and liquidity needs across legal entities and jurisdictions in Europe and globally. Treasury Risk provides second line oversight to ensure risk is identified, measured, monitored, controlled, and reported in line with regulatory expectations and BNY’s risk appetite.

BNY’s Treasury Risk authority is the second line of defense responsible for the oversight of the Asset and Liability Management on IRRBB at BNY Mellon. The team is meant to ensure that IRRBB is identified, measured, controlled, reported, and monitored by first line of defense; the main responsibilities include, but not limited to: independently reviewing and challenging IRRBB management processes; owning the IRRBB limit framework; reviewing and evaluating the IRRBB aspects of significant new products / services, business process changes, and entity structures/acquisitions/divestures changes.

Key counterparts include Corporate Treasury, at the corporate level and across the world. Asset-Liability management, liquidity, and capital knowledge is critical to understanding deployment constraints and trade-offs. IRRBB oversight team works very actively with the other Treasury Risk functions, and within Risk & Compliance functions relating to interest rate risk. The team also considers regulatory implications of balance sheet activity. As BNY Mellon is a Global Systemically Important Bank (GSIB), the regulatory requirements and expectations for the Treasury and Treasury Risk are at the highest standard in the country.

In this role, you’ll make an impact in the following ways:

• Independently review and challenge IRRBB management processes across BNY Group entities, covering measurement, limits, controls, reporting, and governance in line with applicable IRRBB/CSRBB Guidelines, requirements and Supervisors’ expectations.
• Own and enhance the IRRBB limit framework, including EVE and NII sensitivities, behavioral assumptions, interest rate shock scenarios, basis/spread risk, and optionality.
• Assess IRRBB aspects of new products/services, business process changes, and structural changes (e.g., entity reorganizations, acquisitions/divestitures), including capital and liquidity implications under applicable regulation .
• Perform in-depth risk analysis, reporting, and monitoring aligned to established practices, including supervisory outlier tests (SOT), stress/scenario analysis, and attribution of IRRBB drivers.
• Conduct deep dives on asset classes and portfolios (e.g., fixed income, deposits, loans), including surveillance, valuation approaches, impairment linkages, and end-to-end risk management evaluation.
• Contribute content and analysis for Treasury Risk governance forums and risk committees; prepare materials suitable for second-line challenge and senior stakeholder engagement.
• Partner with portfolio managers, ALM, and business teams on emerging risks (e.g., yield curve shifts, basis risk, customer behavioral changes) and ensure alignment with risk appetite and regulatory constraints.
• Collaborate closely with Liquidity Risk and Capital Risk to ensure integrated oversight and a holistic view of risk drivers, incorporating liquidity and capital planning considerations.
• Support continuous enhancement of models, methodologies, assumptions (e.g., deposit repricing, prepayments), controls, and documentation to meet evolving regulatory standards and internal policies.
• Maintain awareness of regulatory developments and best practices in IRRBB, CSRBB, and capital risk, translating supervisory expectations into actionable oversight and challenge.

To be successful in this role, we’re seeking the following:

Requirements

• Bachelor’s degree or equivalent experience required; Master’s degree preferred.
• 2–5 years of experience in financial services, ideally in Treasury, ALM, Risk Management, or related disciplines.
• Strong quantitative background (e.g., math, statistics, finance, economics, operations research, risk management) with practical experience in interest rate risk and capital/liquidity frameworks.
• Familiarity with European regulatory frameworks: EBA IRRBB/CSRBB Guidelines, CRD/CRR, ECB SSM expectations, ICAAP/ILAAP, SREP, and stress testing practices.
• Ability to analyze and report on macroeconomic issues, interest rate risk, credit risk interactions, liquidity risk constraints, and capital adequacy considerations (e.g., CET1, leverage ratio, buffers).
• Experience with IRRBB analytics platforms and ALM tools (experience with QRM is a plus), and proficiency in working with sensitivity metrics (EVE, NII), scenario design, and stress testing.
• Evaluate and present analysis on new risk taking initiatives raised by IRRBB group.
• Conducting deep dives on asset classes and individual securities as well as end-to-end risk management evaluations covering surveillance, valuation, impairment, and stress modeling.
• Strong communication and stakeholder management skills; capable of producing high-quality materials for governance forums and senior management, and delivering effective second-line challenge.

Preferred Skills And Attributes

• Hands-on experience with behavioral modeling (non-maturity deposits, prepayments), basis/spread risk, optionality, and hedging strategies.
• Understanding of the linkage between IRRBB and capital planning , liquidity planning , and strategic resource allocation.
• Familiarity with supervisory outlier tests, model risk considerations, internal policies/standards, and documentation best practices.
• Ability to work across jurisdictions and legal entities, engaging with first line and control functions to drive strong risk culture and control effectiveness.

About Us

At BNY, our culture allows us to run our company better and enables employees’ growth and success. As a leading global financial services company at the heart of the global financial system, we influence nearly 20% of the world’s investible assets. Every day, our teams harness cutting-edge AI and breakthrough technologies to collaborate with clients, driving transformative solutions that redefine industries and uplift communities worldwide.

Recognized as a top destination for innovators, BNY is where bold ideas meet advanced technology and exceptional talent. Together, we power the future of finance – and this is what is all about. Join us and be part of something extraordinary.

About The Team

At BNY, our culture speaks for itself, check out the latest BNY news at: BNY Newsroom & BNY LinkedIn

Here’s a Few Of Our Recent Awards

• America’s Most Innovative Companies, Fortune, 2025
• World’s Most Admired Companies, Fortune 2025
• “Most Just Companies”, Just Capital and CNBC, 2025

Our Benefits And Rewards

BNY offers highly competitive compensation, benefits, and wellbeing programs rooted in a strong culture of excellence and our pay-for-performance philosophy. We provide access to flexible global resources and tools for your life’s journey. Focus on your health, foster your personal resilience, and reach your financial goals as a valued member of our team, along with generous paid leaves, including paid volunteer time, that can support you and your family through moments that matter.

BNY is an Equal Employment Opportunity/Affirmative Action Employer - Underrepresented racial and ethnic groups/Females/Individuals with Disabilities/Protected Veterans.