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Market Risk Controlling Manager (IRRBB, CSRBB) at N26 | Madrid

N26Madrid
On-site Full-time

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Experience Level

Manager

Qualifications

Key Responsibilities Develop and implement advanced risk measurement methodologies for Interest Rate Risk in the Banking Book (IRRBB) and Credit Spread Risk in the Banking Book (CSRBB), ensuring compliance with regulatory standards such as MaRisk and EBA Guidelines. Design, implement, and monitor pricing and valuation models for interest rate derivatives, including centrally cleared derivatives and swaptions. Establish and maintain risk limits architecture for IRRBB and related derivatives, providing expert advice on hedging strategies. Lead initiatives to enhance the quality, governance, and lineage of core balance sheet and derivative data for risk calculations. Create a robust testing environment for all new methodologies and code releases, adhering to best practices in documentation. Act as the methodological expert and project lead for significant risk-related projects, including new product approvals and banking system migrations. Coordinate with internal and external auditors and regulators regarding the adequacy and compliance of market risk methodologies.

About the job

About the Opportunity

Join N26 as a Market Risk Controlling Manager and play a pivotal role in enhancing our Risk Controlling function, particularly focusing on interest rate risk in the banking book. You will be integral to our ICAAP Methodology & Analytics team, contributing to model development, implementation, and risk data analysis.

Your responsibilities will include assessing, controlling, and reporting on N26’s risks while fostering effective collaboration with various teams and stakeholders. At N26, we are revolutionizing banking through innovative technology, and as a Manager in Market Risk, you will have the opportunity to shape the future of risk management in a dynamic and innovative environment.

About N26

N26 is a digital bank that is redefining the banking experience through technology and innovation. We pride ourselves on being at the forefront of the banking revolution, offering a transparent and user-friendly platform for our customers.

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