Risk Controlling Manager, Market Risk (IRRBB, CSRBB)

About the role

We are seeking a Manager Risk Controlling to develop and strengthen our Risk Controlling function with a focus on steering interest rate risk in the banking book. You'll work as part of the ICAAP Methodology & Analytics team, supporting model development, implementation and data analysis for risk controlling, with emphasis on Pillar II and interest rate risk in the banking book.

What you'll do

• Develop, implement and maintain advanced risk measurement methodologies for Interest Rate Risk in the Banking Book (IRRBB) and Credit Spread Risk in the Banking Book, ensuring regulatory compliance
• Lead design, implementation and monitoring of pricing and valuation models for interest rate derivatives, including centrally cleared derivatives and swaptions
• Establish and maintain architectural design of risk limits for IRRBB and associated derivatives, providing expert advice on hedging strategies
• Lead cross-functional initiatives to improve quality, governance, and lineage of core balance sheet and derivative data used in risk calculations
• Develop robust, audit-proof testing environments for new methodology and code releases with best-practice documentation
• Act as primary methodological expert and project lead for cross-functional, risk-related projects with IRR or derivative components
• Coordinate interactions with internal and external auditors and regulators regarding market risk methodologies and derivative valuation practices

What you'll need

• Master's degree in statistics, mathematics, business/economics, or similar quantitative field
• 5+ years of practical experience in risk controlling with IRRBB, CSRBB and interest rate derivatives from a regulated financial institution
• Knowledge of VaR and stress testing methodologies with practical model development experience
• Solid understanding of ICAAP and interest rate risk related KRIs
• Knowledge of European and/or German regulations (EBA Guidelines, MaRisk)
• Strong proficiency in SQL and Python for quantitative analysis
• Strong analytical and quantitative skills with ability to generate actionable insights from complex data
• Fluent English

Nice to have

• Professional certification (CFA, FRM)
• Experience with repos, secured lending and other risk types
• Experience with IDW RS BFA 3 and/or hedge accounting
• Experience dealing with external audits
• Experience with independent price verification processes
• Experience with data governance and data quality management
• German language skills

What they offer

• Competitive personal development budget and work from home budget
• Discounts to fitness & wellness memberships, language apps and public transportation
• Premium N26 subscription plus subscriptions for friends and family
• Additional day of annual leave for each year of service
• High degree of autonomy and access to cutting edge technologies
• Relocation package with visa support if needed