ALM Modeling Analyst, Assistant Vice President
- Los Angeles, CA
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Discover your opportunity with Mitsubishi UFJ Financial Group (MUFG), the 5th largest financial group in the world (as ranked by S&P Global, April 2018). In the Americas, we're 14,000 colleagues, striving to make a difference for every client, organization, and community we serve. We stand for our values, developing positive relationships built on integrity and respect. It's part of our culture to put people first, listen to new and diverse ideas and collaborate toward greater innovation, speed and agility. We're a team that accepts responsibility for the future by asking the tough questions and owning the solutions. Join MUFG and be empowered to make your voice heard and your actions count.
This position will report to the Director, Balance Sheet Management and will be responsible for providing support to the IRR Measurement & Analysis team to identify, measure, analyze and communicate enterprise-wide interest rate risk for entities across Combined US Operations in compliance with regulatory requirements, internal Policy and consistent with industry best practices. You will provide ALM modeling expertise to the functional unit in its day-to-day operations and will be responsible for overseeing and coordinating all aspects of implementing IRR methodologies, assumptions and processes in measurement and analysis of the risk profile. Additionally, you will collaborate and work closely within Treasury, and with Finance and Risk management teams to manage ALM risks.
- Develop presentations and communicate risk results to Senior Management, Risk Partners, Tokyo Management and at key Risk Committees
- Lead 1 st line efforts on IRR audits and target regulatory exams; develop presentations for quarterly IRR updates to FRB and OCC
- Develop understanding of balance sheet portfolios and business lines, perform analytics and reporting on balance sheet risk, budget / forecast sensitivity analysis and valuation to identify and develop hedging and balance sheet strategies, perform R&C on business line forecasts and ensure compliance with Policy limits
- Maintain robust two-way communications with Market Risk Management (MRMD), Finance and business units, regularly sharing information and educating units regarding key issues and concerns
- Responsible for producing, analyzing and reporting all EAR and EVE modeling results and assumptions for the balance sheet and ALM modeling on the monthly production cycle; results should also capture rate risks related to off-balance sheet items
- Provide expertise in establishing the appropriate methodologies and in modeling financial instruments, valuation techniques, prepayment and stochastic models
- Play a significant role in the development effort on modeling Economic NII and processes to comprehensively capture interest rate risk across balance sheet portfolios such as MSR, CVA and ECR on Deposits
- Ensure proper use and leverage of QRM ALM tool for wide range of analysis including balance sheet scenarios, basis and other risks from LIBOR transition, negative rate and other ad-hoc scenarios requested by Senior Management / Tokyo
- Deploy QRM application for rebalancing balance sheet in completing the bank-wide forecasting process; generate and recommend optimization solutions for review with Funding and Balance Sheet Management teams
- Implement in production environment all models developed by the Quantitative Modeling team; oversee model performance for EAR and EVE per Model Risk Policy
- Ensure ALM modeling approach and implementation is commensurate with the size and complexity of the balance sheet and consistent with industry best practices; leverage existing network within banking industry
- A degree in economics or finance is desired and MBA and/or CFA is highly preferred. Minimum 3-4 years related experience
- Experience working in Treasury, Risk and/or Finance in the banking industry is highly desired; Understanding of ALM function and interaction with Treasury Management is preferred
- Fundamental understanding of bank balance sheet and financial instruments, modeling experience for mortgages and / or deposits is preferred
- Well organized, capable of handling a variety of issues and assignments, a problem solver, a self-starter and a team player
- Broad understanding of the IRR principles and key banking regulations
- Proficiency in ALM tools such as QRM is highly preferred; Knowledge of querying databases and writing macros
- Excellent communication skills
The above statements are intended to describe the general nature and level of the work being performed. They are not intended to be construed as an exhaustive list of all responsibilities, duties, and skills required of personnel so classified .
We are proud to be an Equal Opportunity / Affirmative Action Employer and committed to leveraging the diverse backgrounds, perspectives, and experience of our workforce to create opportunities for our colleagues and our business. We do not discriminate in employment decisions on the basis of any protected category.
A conviction is not an absolute bar to employment. Factors such as the age of the offense, evidence of rehabilitation, seriousness of violation, and job relatedness are considered in all employment decisions. Additionally, it's the bank's policy to only inquire into a candidate's criminal history after an offer has been made. Federal law prohibits banks from employing individuals who have been convicted of, or received a pretrial diversion for, certain offenses.
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