• Senior Asset Liability Analyst

    Location US-NY-Long Island City
    Category
    Accounting/Finance
  • Overview

    Responsible for the identification, measurement, and monitoring of risk exposures related to the organization’s financial performance. Maintain the interest rate and liquidity risk measurement and income forecasting process using a sophisticated balance sheet management system.

    Responsibilities

    • Provide critical analysis of modeling results for purposes of internal validation and explaining risk positions to management.
    • Execute the derivation, implementation, and reporting of new risk metrics.
    • Ensure the integrity of the Asset/Liability Management Model's database and assumptions, and control for the quality and accuracy of various financial reports, including interest rate risk management reports and the financial performance forecast.
    • Maintain and update the ALM model parameters, organizational chart of accounts, model yield curves, and rates for all rate shock/ramp scenarios.
    • Compile market data for use in the Asset/Liability Management system.
    • Develop and analyze assumptions for balance sheet and statement of earnings in order to provide earning expectations and management strategies.
    • Analyze behavior assumptions associated with non-maturity instruments, mortgage prepayments, and other financial instruments. Maintain and enhance prepayment and core deposit decay assumptions.
    • Maintain ALM account attributes and operating procedures manual; document changes to the model.
    • Run ad-hoc “what if” scenarios.
    • Conduct model benchmarking and back-testing of key model assumptions.
    • Develop liquidity analyses of sources and uses of funding to ensure adequate through normal and contingency scenarios.

    Qualifications

    TYPE & AMOUNT OF EXPERIENCE:

    • Bachelor’s degree in finance and 5 years of banking or credit experience running ALM software in similar analytical assignments
    • CFA designation or enrollment in the CFA program preferred

     

    TECHNICAL COMPETENCIES:

    • Strong prior 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
    • Minimum of 2-3 years running ALM software, creating both deterministic and stochastically generated forecasts (e.g., utilizing ZM Financial, QRM, Bancware or other ALM Software)
    • Knowledge of money and capital markets
    • Strong knowledge of financial accounting and analysis
    • High degree of proficiency utilizing Bloomberg, Excel, PowerPoint, and database management
    • Data analysis and data management skills

     

    BEHAVIORAL COMPETENCIES:

    • Excellent interpersonal skills and highly detail oriented
    • Strong organizational and project management skills
    • Strong analytical, quantitative, and communication skills
    • Ability to manage relationships at all levels throughout the organization
    • Able to multi-task in a fast paced environment
    • Professional appearance and a willingness to work flexible hours

     

    WORK ENVIRONMENT/CONDITIONS

    • 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.

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