Asset Liability Management Analyst

Employment Type

: Full-Time


: Non-Executive Management

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The Asset Liability Management (ALM) Analyst will be a key member of the ALM function that is responsible for strategic balance sheet positioning and managing the structural interest rate risk generated by the Banks asset-liability profile. This position is responsible for interest rate risk reporting, modeling, and analytics. The candidate will measure and analyze interest rate risks as well as play an integral hands-on-role in liquidity stress testing and monitoring. This position will provide an opportunity to engage with the CFO, Treasurer, and other members of senior management. The role reports to the Treasury Department, the Banks first line of defense in funding, liquidity, and interest rate risk management. Primary Responsibilities Identify, analyze, and monitor the interest rate risk position of the Banks balance sheet through Net Interest Income (NII) and Economic Value of Equity (EVE) simulations, balance sheet gaps, sensitivity analysis, and stress testing analysis. Facilitate the Asset & Liability Committee (ALCO) as the senior management forum responsible for balance sheet management. Prepare and present all reports to ALCO and make recommendations to manage the banks liquidity and interest rate exposure. Assist the Treasury Department in developing ALM strategies by preparing, analyzing, and reporting various balance sheet forecasted scenarios using the Banks ALM modeling software. Develop, analyze, and enhance liquidity stress methodologies and assumptions, driving bank-wide actions. Document and maintain procedures to serve as reference of processes completed in building the forecasted balance sheet, calibrating model assumptions, and embedding controls. Analyze customer behaviors, and refine customer behavior models for loan prepayments, deposit betas and deposit decay. Help monitor the performance of the ALM model by conducting sensitivity-testing of model assumptions, liaising with the Risk function on model back-testing, and recommending updates as appropriate. Assist in analyzing and decomposing the deposit book with a focus on liquidity and interest rate sensitivity. If applicable or appropriate, assist with the Banks compliance with applicable laws, regulations, and regulatory requirements, including Affiliate Transactions (Regulation W). Perform ad-hoc analyses as needed in a fast and efficient manner.

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