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Responsibilities

• Lead ALM modelling initiatives including interest rate risk and sensitivity, liquidity risk and balance sheet optimization.
• Gather and analyze data on assets and liabilities across various economic and management-defined scenarios.
• Develop reports and presentation materials communicating financial performance, risks, and strategy recommendations, including monthly ALCO reports.
• Prepare, document, and test model assumptions such as loan prepayment speeds, deposit decay, and betas.
• Support finance, risk management, internal audit, business leads, and examiners on ALM discussions and analyses, incorporating feedback into models.
• Monitor and update Asset Liability management policies and thresholds.
• Maintain knowledge of current trends, regulations, and issues affecting AML.

Requirements

• Familiarity with the Empyrean modeling solution.
• Proficient in interest rate risk modeling, balance sheet dynamics, fixed-income analytics, and non-maturity deposit behaviors.
• Strong knowledge of capital markets, including option-adjusted valuation concepts and methodologies, applied to balance sheet risk modeling.
• Strong knowledge of mortgage-backed securities, collateralized mortgage obligations, derivatives, and structured products, with the ability to produce valuation metrics and analyze cash flow behaviors.
• Proficient in statistics and related concepts.
• Working knowledge of credit risk and cash flow impact.
• Working knowledge of capital stress testing.
• Basic working knowledge of Bloomberg.
• Proficient in Microsoft Excel.
• Excellent verbal and written communication skills.
• Ability to prioritize and organize assignments.
• Strong desire to evolve skill sets to meet an evolving environment.
• Knowledge of the banking industry and banking functions.
• Ability to meet strict deadlines and complete projects effectively and independently.

Skills

• Empyrean modeling solution
• Interest rate risk modeling
• Balance sheet dynamics
• Fixed-income analytics
• Non-maturity deposit behaviors
• Capital markets
• Option-adjusted valuation
• Mortgage-backed securities
• Collateralized mortgage obligations
• Derivatives
• Structured products
• Statistics
• Credit risk
• Cash flow impact
• Capital stress testing
• Bloomberg
• Microsoft Excel
• Power BI
• Tableau
• R-coding
• Funds Transfer Pricing (FTP) methodologies

Experience Level

• Minimum of 3 years related financial analysis and risk management experience in a financial institution.

Education Level

• Bachelor's Degree in Accounting, Finance, Economics, Mathematics, Business or related field