Risk Controlling Manager, Market Risk (IRRBB, CSRBB)

About the opportunity

We are seeking a Manager Risk Controlling to help us further develop and strengthen our Risk Controlling function with a focus on steering interest rate risk in the banking book.

As part of the ICAAP Methodology & Analytics team, you will be supporting with model development, implementation and data analysis for risk controlling, with a focus on Pillar II and interest rate risk in the banking book. You will contribute to assessing, controlling, and reporting N26’s risks while ensuring effective collaboration across various teams and stakeholders.

At N26, we are redefining banking through technology and innovation. As Manager Market Risk, you will have the opportunity to shape the future of risk management in a fast-paced, forward-thinking environment. Join us and be part of a team that values collaboration, innovation, and excellence.

In this role, you will

Contribute to the development, implementation and maintenance of advanced risk measurement methodologies specifically for Interest Rate Risk in the Banking Book (IRRBB) and Credit Spread Risk in the Banking Book, including metrics like EVE (Economic Value of Equity) and NII (Net Interest Income) sensitivity. Ensure full compliance with relevant regulatory requirements (e.g., MaRisk, EBA Guidelines on IRRBB and CSRBB).

Lead the design, implementation and monitoring of pricing and valuation models for interest rate derivatives, including centrally cleared derivatives and swaptions.

Establish and maintain the architectural design of risk limits for IRRBB and associated derivatives, providing expert advice on hedging strategies and their methodological impact.

Spearhead cross-functional initiatives to improve the quality, governance, and lineage of core balance sheet and derivative data used in IRRBB, CSRBB and liquidity risk calculations.

Ensure the development of a robust, audit-proof testing environment for all new methodology and code releases, establishing best-practice documenta