TL;DR
IRRBB Manager at Mercury leading implementation and management of the firm's cash flow engine and ALM system. Responsible for modeling balance sheet cash flows, interest rate risk analytics, and key metrics like NII and EVE.
Role Overview
We are seeking an analytical and technically skilled professional to lead the implementation, management, and ongoing enhancement of our cash flow engine. This role will be responsible for modeling balance sheet cash flows, supporting interest rate risk (IRR) analytics, and ensuring the integrity of key metrics such as Net Interest Income (NII) and Economic Value of Equity (EVE).
The ideal candidate brings a strong understanding of asset-liability management (ALM), behavioral modeling, and financial modeling frameworks, along with the ability to translate complex assumptions into actionable insights.
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
What Success Looks Like
- A fully implemented and reliable cash flow engine supporting accurate NII and EVE projections with up to monthly production runs
- Well-documented and defensible behavioral assumptions
- Supporting a cross functional operating model for balance sheet forecasting
- Clear, actionable insights that inform balance sheet and risk management decisions
- Scalable modeling infrastructure that evolves with the business
Compensation
The total rewards package at Mercury includes base salary, equity (stock options/RSUs), and benefits. Our salary and equity ranges are highly competitive within the SaaS and fintech industry and are updated regularly using the most reliable compensation survey data for our industry. New hire offers are made based on a candidate's experience, expertise, geographic location, and internal pay equity relative to peers.
Our target new hire base salary ranges for this role are the following:
- 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
Mercury values diversity & belonging and is proud to be an Equal Employment Opportunity employer. All individuals seeking employment at Mercury are considered without regard to race, color, religion, national origin, age, sex, marital status, ancestry, physical or mental disability, veteran status, gender identity, sexual orientation, or any other legally protected characteristic. We are committed to providing reasonable accommodations throughout the recruitment process for applicants with disabilities or special needs. If you need assistance, or an accommodation, please let your recruiter know once you are contacted about a role.
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