Manager Asset & Liability Management Model
The Asset and Liability Management Model Manager will formalize and manage the process for Interest Rate Risk (IRR) model assumption development and documentation. This role will formalize and manage procedures for defining and communicating IRR impacts from potential mergers.
Formalize and manage process for establishing, changing, supporting and reporting assumptions used in the ALM model for IRR measurement. Oversee model assumption development, back testing procedures and development of variance thresholds.
Establish and manage a formal process for analyzing the characteristics of the Bank's deposit base for assistance in developing assumptions used in the ALM modeling. This would include deposit betas, deposit decay, deposit volume and deposit mix sensitivity to changing interest rates and economic environments. Liaise with personnel responsible for interfacing with depositors for insights on depositor behavior.
Manage process for documentation of assumption development and procedures in accordance with supervisory agency guidance and best practices.
Formalize and manage processes and procedures for measuring IRR impact of potential mergers and acquisitions, and new products and services.
Process should fully address associated risk identification and risk management strategies.
Determine proper level for escalation of findings and communicate impacts accordingly.
Liaise with Model Risk Management to ensure model and assumption updates, changes and modifications adhere to model change standards.
Post Graduate degree with a minimum of 8 years experience running and managing an asset and liability management model used in interest rate risk measurement.
Bachelor degree with a minimum of 10 years experience running and managing an asset and liability management model used in interest rate risk measurement.
Strong oral and written communication skills.
Ability to manage multiple priorities effectively while meeting deadlines.
Strong relationship building and demonstrated management skills.
Strong organizational skills and ability to deal with high levels of detail.
Advance spreadsheet and/or database knowledge.
Other preferred qualifications:
MBA/ or CFA
Degree in Math, Finance, Accounting, or Economics.
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