Responsible for the identification, measurement, and monitoring of risk exposures related to the organization’s financial performance. Specifically, the position is responsible for maintaining the interest rate and liquidity risk measurement and income forecasting process using a sophisticated balance sheet management system.
• Provides critical analysis of modeling results for purposes of internal validation and explaining risk positions to management.
• Conducts the derivation, implementation, and reporting of new risk metrics.
• Ensures the integrity of the Asset/Liability Management Model's database and assumptions, and for controlling the quality and accuracy of various financial reports, including interest rate risk management reports and the financial performance forecasts.
• Maintains and updates the ALM model parameters, organizational chart of accounts, model yield curves, and rates for all rate shock/ramp scenarios.
• Compiles market data for use in the Asset/Liability Management system.
• Develops and analyzes assumptions for balance sheet and statement of earnings in order to provide earning expectations and management strategies.
• Analyzes behavior assumptions associated with non-maturity instruments, mortgage prepayments, and other financial instruments. Maintains and enhances prepayment and core deposit decay assumptions.
• Maintains ALM account attributes, operating procedures manual, and documents changes to the model.
• Runs ad-hoc “what if” scenarios.
• Conducts model benchmarking and back-testing of key model assumptions.
• Develops liquidity analyses of sources and uses of funding to ensure adequate normal and contingency scenarios.
TYPE & AMOUNT OF EXPERIENCE:
• Bachelor’s degree in Finance
• Enrollment in the CFA program is preferred or will be expected during employment
• Experience with Asset-Liability Management, interest rate risk measurement and the modeling of fixed income instruments, such as Federal Agencies, MBS/CMO, States and Municipals and Structured Bank Notes
• Knowledge of money and capital markets
• Experience using ALM software to create both deterministic and stochastically generated forecasts (e.g. utilizing ZM Financial, QRM, Bancware or other ALM Software)
• Strong knowledge of financial accounting and analysis
• Strong Excel and data analysis/management skills
• Proficiency with Bloomberg, database management and PowerPoint
• Excellent interpersonal skills and high detail orientation
• Strong organizational and project management skills
• Strong analytical and quantitative skills
• Professional communication skills, both verbal and written
• Able to multi-task in a fast paced environment
• Professional appearance and a willingness to work flexible hours
• Standard office conditions
In addition to any specific job requirements in connection with Bank Secrecy Act and/or OFAC (BSA), employee must (i) be aware of BSA matters commensurate with the position; (ii) report any suspicious activity to the manager or compliance department; and (iii) satisfactorily complete any required BSA training.