BNY Mellon Careers

Principal, Market and Liquidity Risk (m/w/d)

Frankfurt, Germany

Job Description

The aim of the role is to provide professional, value added and efficient market and liquidity risk resource and service through the identification, analysis, monitoring and escalation of treasury market risk, IRRBB and liquidity risk exposures, resulting from the Corporate Treasury activity of BNY Mellon’s European Bank.



  • Responsible for measuring and monitoring of Corporate Treasury market and liquidity risks on a daily basis according to prescribed policies.
  • Investigate periodic changes in Sensitivities, VaR, Stress Testing & PnL, provide explains to senior management.
  • Provide analysis, challenge and review of the IRRBB process regarding EVE and NII (output and underlying assumptions).
  • Responsible for scenario analysis and stress testing of non – traded market risk under various (behavioural) market conditions.
  • Produce periodic market and liquidity risk reporting for senior management and committee review, and to support financial and regulatory disclosures. 
  • Membership of local ALCO and Risk Management Committee.


  • The role requires a thorough understanding of financial markets; investment portfolio management: FX, fixed income and money market trading and investment instruments, and the detailed process by which market and liquidity risks are measured and monitored.
  • Understanding of interest rate risk (re-pricing risk, yield curve risk, basis risk and optionality), credit spread risk and FX risk (net open, forward FX risk).
  • Understanding of market risk / interest rate risk (behavioural) models and risk sensitivities.
  • Excellent knowledge of MS Excel, MS Access and MS Word (including VBA).
  • Attention to detail, inquisitive and a high level of accuracy.
  • Ability to communicate effectively and persuasively (oral, written).
  • Experience of working in a stand-alone role.
  • Fluency in English, both conversational and written.
  • Master’s degree in a numerate discipline required.
  • 5-10 years’ relevant experience required.
  • Treasury market risk or asset and liability management experience desired.

BNY Mellon is an Equal Employment Opportunity Employer.

Primary Location: Germany-Hessen-Frankfurt
Job: Risk
Internal Jobcode: 85210
Organization: Risk-HR06016
Requisition Number: 1902326