Asset Liability Analyst

Date posted:

Department:

Finance

Location:

Long Island City (HQ) - Queens, NY

Description:

Responsible for the identification, measurement, and monitoring of risk exposures related to the organizations financial performance. Specifically, the position is responsible for maintaining the interest rate and liquidity risk measurement and income forecasting process using a sophisticated balance sheet management system.

Accountabilities:

•Provides critical analysis of modeling results for purposes of internal validation and explaining risk positions to management.
•The derivation, implementation, and reporting of new risk metrics.
•Ensures the integrity of the Asset/Liability Management Model's database and assumptions, and for controlling the quality and accuracy of various financial reports, including interest rate risk management reports and the financial performance forecast.
•Maintains and updates the ALM model parameters, organizational chart of accounts, model yield curves, and rates for all rate shock/ramp scenarios.
•Compiles market data for use in the Asset/Liability Management system.
•Develops and analyses assumptions for balance sheet and statement of earnings in order to provide earning expectations and management strategies.
•Analyze behavior assumptions associated with non-maturity instruments, mortgage prepayments, and other financial instruments. Maintains and enhances prepayment and core deposit decay assumptions.
•Maintains ALM account attributes, operating procedures manual, and documents changes to the model.
•Run ad-hoc “what if” scenarios.
•Conducts Model benchmarking and back-testing of key model assumptions.
•Develops liquidity analyses of sources and uses of funding to ensure adequate through normal and contingency scenarios.

Qualifications:

TYPE & AMOUNT OF EXPERIENCE:
•Bachelor’s degree in finance and 5 years of banking or credit union experience running ALM software in similar analytical assignments.

TECHNICAL COMPETENCIES:
•Strong prior experience with Asset-Liability Management, interest rate risk measurement and the modeling of fixed income instruments such as Federal Agencies, MBS/CMO, States and Municipals and Structured Bank Notes
•Knowledge of money and capital markets
•Must have a minimum of one to two years running ALM software creating both deterministic and stochastically generated forecasts (e.g., utilizing ZM Financial, QRM, Bancware or other ALM Software)
•Strong knowledge of financial accounting and analysis
•Strong Excel and data analysis and management skills
•A high degree of proficiency utilizing Bloomberg, Excel, PowerPoint, and database management

BEHAVIORAL COMPETENCIES:
•Excellent interpersonal skills and highly detail orientation
•Strong organizational and project management skills
•Strong analytical, quantitative, and communication skills
•Professional communication skills, both verbal and written
•Ability to manage relationships at all levels throughout the organization
•Able to multi-task in a fast paced environment
•Professional appearance and a willingness to work flexible hours