The ALM Modeling team is responsible for the direction, development, and management of Treasury activities as pertaining to interest rate risk, analysis and reporting efforts to illuminate current and forecasted risk positions, and recommendation to manage or limit risk.
Requirements
- Hands-on experience with QRM and Hyperion systems.
- Experience with loans and deposits modeling and implementation.
Responsibilities
- Develop, maintain, and enhance Net Interest Income (NII) forecasting models, Earnings at Risk (EAR) and Economic Value of Equity (EVE) analysis for Asset Liability Management (ALM) using QRM.
- Evaluates the balance sheet's asset-liability risks for the recommendation of key indicator and limits.
- Assists with analysis and risk identification within products, markets, and client behavior.
- Conduct sensitivity analysis on key assumptions to understand the limitations and weaknesses of key assumptions' impact on NII forecast outputs and perform in-depth attribution analysis to understand market/portfolio/model impacts.
- Provides robust statistical analytics to support portfolio modeling, assumption, pricing sensitivity, pricing studies.
- Partner with modeling team to integrate and test behavioral models including deposit attrition and pricing models in QRM.
- Prepare reports to Asset Liability Committee (ALCO) and Senior Management Team.
Other
- Bachelor's Degree and 2 years of experience in financial, statistical, or quantitative analysis experience OR High School Diploma or GED and 6 years of experience in financial, statistical, or quantitative analysis experience
- Offers of employment will be contingent upon a satisfactory background check.
- The Bank is committed to maintaining a safe workplace free from the influence of prohibited drugs and the misuse of alcohol and will not tolerate any prohibited drug use or alcohol misuse that jeopardizes the safety of associates, customers or others at the workplace, or threatens the Bank’s operations or competitiveness.
