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Senior Manager, IRRBB

Senior Manager, IRRBB

Req ID:  39318
Department:  Risk New Zealand Markets & Treasury Risk
Division:  Risk
Location:  Wellington

Mō te tūranga | About the role

Kia Hanga I Te Ao, E Ora Ai, E Tupu Ai, Te Tangata Me Te Kainga. At ANZ our purpose is to shape a world where people and communities thrive. We’re making this happen by improving the financial wellbeing and sustainability of our customers so they can achieve incredible things– whether they’re buying a home, building a business, or saving for things big or small.


The Senior Manager Interest Rate Risk in the Banking Book (IRRBB) position is critical to making this happen by maintaining oversight of all interest rate risk in the banking book, including interest rate risk from the balance sheet and hedging activities, and investment term of capital and liquid asset holdings.


Your responsibilities will include oversight of portfolio performance, maintenance of policy and limit frameworks, monitoring limit compliance, analysis of market risk capital outcomes (under both RBNZ and APRA standards), and the accurate and timely deliver of management reports. You will also have oversight of funds transfer pricing and the rates and curves used for the above functions.


The role must also maintain effective relationships with key stakeholders across Risk, Markets, Treasury and Finance and will be a key Market Risk contributor to ANZNZ's Asset and Liability Management Committee (NZ ALCO). This role will also form a critical interface between Market & Treasury Risk and the Nga Tapuwae project.


Role Type: Full Time, Permanent

Location: Te Whanga-nui-a-Tara, Wellington 

Ōu Pūkenga? | What will you bring?

To grow and be successful in the role, you will ideally bring the following:


  • 7+ years’ experience in roles within Market Risk, Markets or Treasury
  • Detailed knowledge of interest rate derivative products, including pricing and risk analytics
  • Detailed knowledge of key market risk metrics (value-at-risk and DV01), and product valuation methodologies
  • Detailed knowledge of regulatory capital methodologies (both RBNZ and APRA)
  • Strong communication skills including ability to communicate confidently and effectively with senior executives
  • Ability to inspire and motivate team members and comfort taking on leadership responsibilities within the wider Market & Treasury Risk team


You’re not expected to have 100% of these skills. At ANZ a growth mindset is at the heart of our culture, so if you have most of these things in your toolbox, we’d love to hear from you.

He aha te take e uru ai koe ki a mātou? | Why join us?

ANZ New Zealand has embarked on a multi-year programme of work to fundamentally transform its business. Called “Ngā Tapuwae o ANZ” (“The footsteps of ANZ”), this programme will change our core technology, processes and ways of working. It will enable:


  • More convenient and personalised experiences for our customers;
  • A high performance, customer-centric culture for our people;
  • Modular, flexible and industry leading technology; and
  • Simplified and intuitive business processes.


Unparalleled in terms of ambition, scale and complexity for ANZ New Zealand, the programme will bring together a highly capable, multi-disciplinary team of experts from across the bank to drive this change.


There’s something special about being part of ANZ.  From the moment you join us, your part of a team working towards a common goal: improving the financial wellbeing and sustainability of our millions of customers.


But it’s not just our customers who’ll feel your impact. You’ll feel it too. Because at ANZ, you’ll have the resources and community you need to take the next big step in your career, towards even bigger things in the future.

We offer a range of benefits tailored to the countries in which we operate including Health and Wellbeing programs and flexible working arrangements.


You’ll also enjoy working in a diverse and inclusive workplace where the different backgrounds, perspectives and life experiences of our people are celebrated. We encourage you to talk to us about any adjustments you may require to our recruitment process or the role itself. If you are a candidate with a disability, let us know how we can provide you with additional support.

To find out more about working at ANZ or to view other opportunities visit You may apply for this role by visiting ANZ Careers and searching for reference number 39318

Job Posting End Date

08, June 2023

Apply now »