ALM Modeling Lead

General Summary:

Leads advanced level financial and quantitative analyses, modeling, and research to support risk measurements, risk monitoring, risk assessments, and risk reporting on several topics related to financial and market risk management.

Principal Duties and Responsibilities:

• Lead, initiate, design, develop, implement, and maintain advanced financial and market risk analysis related to modeling, monitoring, reporting, and communication of financial and market risk management at the Bank.
• Leads, directs, and collaborates in the design, development, maintenance, and use of several market risk modeling activities such as derivatives models, interest rate risk models, prepayment models, mortgage risk models, and other fixed income modeling.
• Lead model performance monitoring to support the model risk management activities including but not limited to comprehensively assessing the conceptual soundness, evaluating model assumptions and data integrity, testing model accuracy, performing outcomes analysis, and reviewing model governance and control process.
• Leads the research, creation, implementation, interpretation, application, implementation, and presentation phase on several regular and ad-hoc financial and market risk analyses.
• Support relationship with several stakeholders across the Bank including but not limited to Senior Management, Regulators, Model Risk Management, Treasury, and Accounting.

Minimum Knowledge, Skills And Abilities Required:

• Master's Degree in finance, mathematical finance, quantitative finance, economics, financial engineering, or a similar field of study is required. Industry certifications such as CFA, FRM, CQF is a plus.
• Five years of related experience performing economic, financial, and quantitative/mathematical analysis or risk analysis or equivalent course work in the above mentioned areas.
• Strong working knowledge of financial analysis, financial theory, financial mathematics, fixed income financial modeling, and generally accepted accounting principles related to derivatives, mortgages and other fixed income securities.
• Advanced working knowledge of principals related to financial markets, market risk management, liquidity risk management, credit risk management, and balance sheet management.
• Advanced Excel skills required and Advanced working knowledge of one or more of the following quantitative programming, data analysis, database skills, numerical and statistical tools such as: VBA, R, Python strongly preferred.
• High degree of initiative and independence.
• Excellent verbal and written interpersonal communication skills in conveying concepts to both technical and non-technical audiences.
• Demonstrated commitment to diversity and inclusion. Promotes an environment of empathy and respect, ensures the inclusion of all team members, and actively engages in D&I events and learning opportunities.
  
  

Working Conditions:

Requires daily use of personal computer and modeling software. Flexibility to work outside normal working hours and meet multiple and changing deadlines in a fast-paced environment. Ability to pay close attention to detail since errors could result in significant monetary loss to the organization.