Asset Liability Management Advisor Senior

Asset Liability Management Advisor Senior

Requirements

• Bachelor’s degree in Finance, Mathematics, Actuarial Science, Economics, Computer Science, or a related field required; OR 4 additional years of related experience beyond the minimum required may be substituted in lieu of a degree (10 total years of experience without a degree).
• 6 years’ of experience in a corporate treasury, investment or finance position in banking or insurance OR an advanced degree in Business, Finance, Statistics, Economics, or other quantitative subject area or CFA/FRM and 4 years’ experience in a corporate treasury, investment or finance position.
• 3 years in a position with experience directly related to treasury functions, such as capital, liquidity, stress testing, and/or asset liability management.
• Experience with large quantitative models used in Treasury functions, such as asset liability systems or industry standard financial modeling software (such as QRM, Bancware, Kamakura, etc.), credit risk models or operational risk models.
• Relevant mathematical skills and working knowledge as they relate to modeling and valuation of fixed income instruments and/or derivatives.
• Sophisticated knowledge of Microsoft Office products including Excel, Word and PowerPoint.
• Understanding of applicable regulatory requirements that may include OCC, FDIC, NAIC, Basel III, ORSA and the Federal Reserve’s regulations.

Responsibilities

• Implement, analyze and interpret models used to understand key risks at the Bank. This includes the measurement and monitoring of interest rate risk, credit risk and operational risk and how they impact various uses, such as interest rate risk management, capital planning, stress testing, and deterministic scenario analysis.
• Develops and leads analytical models to explain the change in metrics and provides attribution and sensitivity analyses for all inputs and assumptions that may drive the changes.
• Provides management with Treasury analytics related to the Bank, such as ALM, capital modeling, stress testing and deterministic scenario analysis.
• Communicates analysis and impacts to key partners, including senior management committees.
• Monitors, researches, analyzes, and communicates the requirements and impacts of regulations affecting Treasury functions.
• Maintains policies and procedures for Bank analytical models.
• Develops implementation strategies and recommendations and serves as a subject matter authority on Enterprise and/or Bank implementation efforts.
• Ensures risks associated with business activities are effectively identified, measured, monitored, and controlled in accordance with risk and compliance policies and procedures.

Preferred Qualifications

• Solid understanding of primary Treasury functions, particularly Interest Rate Risk (IRR) or Asset Liability Management (ALM), stress testing, capital management, or liquidity within the banking industry.
• Strong analytical skills with an understanding of financial markets and instruments.
• Treasury background within bank, including model experience, including treasury management systems (TMS).
• Background working with Python and R.
• Knowledge of mathematical models, measuring risk within banking.
• Experience developing a model risk management framework.