Job OverviewThe Senior Asset Liability Management Analyst will conduct regularly scheduled and ad hoc interest rate and market sensitivity modeling commensurately producing required, comprehensive reporting results and providing output through the Bank's governance structures. Also, Internal Treasury projects as directed.Job DescriptionResponsibilities include, but are not limited to:
- Loads data into models in /ZMdesk system, processes and generates reports for the Bank's interest rate risk sensitivity analysis as needed.
- Reviews reports for accuracy and reasonableness as needed.
- Maintains, prepares and presents Interest Rate Sensitivity Model, including updating internal assumptions.
- Prepares monthly ALCO report including interest rate sensitivity analysis, budget, margin and income metrics, loan volume and pricing metrics and ad hoc analysis as directed by the Corporate Treasury Department and/or the ALCO.
- Prepare deposit beta and decay and sensitivity analysis as needed.
- Prepare monthly loan prepayment analysis.
- Monitor Asset Liability management policies and thresholds.
- Processes results for other internal stress test analysis as required.
- Internal Treasury projects as needed.
RequirementsRequired Skills:
- Familiarity running with the ZMdesk modeling solution a significant plus.
- Proficient in all concepts of interest rate risk modeling, balance sheet dynamics, fixed-income analytics, and non-maturity deposit behaviors.
- Strong knowledge of capital markets including but not limited to option-adjusted valuation concepts and methodologies with the capacity to apply them in the normal course of 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 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, knowledge of Power BI and/or Tableau a plus.
- 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 banking industry and banking functions.
- Ability to meet strict deadlines and complete projects effectively and independently.
- R-coding a plus.
Required Experience: Bachelor's Degree in Accounting or Finance from four-year college or university. Five years related financial analysis and risk assessment experience.