Description

POSITION SUMMARY

Responsible for managing the asset liability management program for the Bank and monitoring the Bank’s internal investment portfolio.

POSITION RESPONSIBILITIES

• Be the subject matter expert, and provide hands on support, for the models used to manage key elements of financial risk on the balance sheet:

• Manage models which provide stress testing including interest rates, liquidity, loan portfolios and capital.

• Assist in the assessment, updating and compliance to the Department’s policies and procedures.

• Analyze interest rate risk components, drivers and simulations. Advise management on the economics of the risk profile, alternatives for mitigation and their costs and related accounting issues.

• Advise on structural interest rate risk reporting including duration, net interest income risk and economic value of equity.

• Analyze liquidity risk issues, including those related to deposit economics and wholesale funding.

• Support the analysis of loan portfolio risks and capital stress testing.

• Participate in the assessment of the interest rate risk stress testing across the bank and provide independent oversight of the Bank’s adherence to the interest rate risk framework of policies and procedures

• Analyze interest rate risk components, drivers and simulations. Advise management on the economics of the risk profile, alternatives for mitigation and their costs and related accounting issues.

• Advise on structural interest rate risk reporting including duration, net interest income risk and economic value of equity.

• Partner with business units in identifying and managing interest rate and liquidity risks.

• Partner with established broker relationships to manage the Bank’s internal investment portfolio

• Advise on the regulatory issues related to interest rate risk, capital management and liquidity management. Provide research on new regulations and their impact on the Bank. Partner with Businesses in the development of new products and advise on the regulatory implications.

• Develop key risk analytic reports for senior management, business partners and regulators.

• Manage the reporting process for the ALCO Committee and the Loan and Deposit Pricing Committee.

• Partner with the Comptroller’s Department and business partners in the development of the Budget, Strategic Plan and short-term forecasts.

• Manage analytics for the deposit program including regular reporting, economics and risk issues such as beta, volatility and decay.

• Assist in the maintenance and development of policies related to interest rate risk, liquidity risk and capital management.

• Partner with Cash Management to monitor liquidity risk including reporting.

• Manage the development of quarterly liquidity stress testing.

• Assist in the collateral management program by providing support for securities and whole loan pledging, secured funding capacity, reporting, economics and relationship management.

• Advise on deposit pricing matters for all products including money markets and time deposits and the various channels used by the Bank for gathering deposits, including, retail, commercial and wealth.

ESSENTIAL SKILLS AND EXPERIENCE

• 3 to 5 years of experience in risk management, treasury or a finance function.

• Strong analytical and quantitative skills, critical thinking, investigative problem-solving and decision structuring talents

• High level of self-initiative required

• Understanding of stress testing (interest rate risk, liquidity risk and capital risk), experience with return measures and stress construction

• Understanding of governance and the controls around risk monitoring

• Knowledge of standard financial concepts including present value, duration and financial modeling

• Excellent oral and written communication skills with the ability to create executive level presentations

• Experience with interest rate swaps, reporting, stress testing and collateral requirements

• Knowledge of asset liability management, interest rate risk, Excel, SNL, Cognos and Salesforce

• Bachelor’s degree required

Equal Opportunity Employer/Protected Veterans/Individuals with Disabilities

The contractor will not discharge or in any other manner discriminate against employees or applicants because they have inquired about, discussed, or disclosed their own pay or the pay of another employee or applicant. However, employees who have access to the compensation information of other employees or applicants as a part of their essential job functions cannot disclose the pay of other employees or applicants to individuals who do not otherwise have access to compensation information, unless the disclosure is (a) in response to a formal complaint or charge, (b) in furtherance of an investigation, proceeding, hearing, or action, including an investigation conducted by the employer, or (c) consistent with the contractor’s legal duty to furnish information. 41 CFR 60-1.35(c)