Facilitate the timely and efficient reporting of interest rate risk market value and net interest income sensitivities across legal entities and business units and the integration of corporate planning forecasts in interest rate risk modeling to enhance the transparency of market risk measurement including the reconciliation of risk model forecasts to actual company results
• Facilitating development of an improved interest rate risk modeling infrastructure by identifying implementing and testing asset/liability management analytical methods and tools • Maintaining the integrity and efficiency of the interest rate risk modeling process including model validation • Maintaining an in-depth knowledge of fixed income instruments including mortgage-related products interest rate derivatives (swaps etc.) indeterminate maturity deposits and interest rate risk measurement concepts such as duration convexity vega basis risk etc. Requirements: • Over 1 year of experience in Asset Liability Management • Three years’ experience using asset/liability management and/or earnings forecasting models for financial institutions with large complex balance sheets • Ability to understand and use prepayment and interest rate models indeterminate deposit modeling and Earnings-at-Risk/Value-at-Risk methodologies • Ability to condense technical subject matter into clear and effective communications to senior management • Experience in integrating FAS 133 and other accounting considerations in development of asset/liability management strategy • Experience using the QRM Balance Sheet Management, Mortgage Banking or Mortgage Servicing systems
• EDUCATION: Bachelors Degree plus graduate degree in business with a finance mathematics or economics concentration and/or professional certification (CFA)
• JOB DURATION: This job is full time and long term.
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