Director, ALM Treasury

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The Director, ALM Treasury is a seasoned professional responsible for conducting analysis to develop advanced models to accurately predict how customer behavior affects product cash flows including the impact of embedded options. The role applies leadership skills and technical expertise to direct the research of considerably complex business information, incorporating programming and analytical methodologies associated with data analytics. The Director, ALM Treasury provides leadership to a team in establishing operational objectives and work plans, applying sophisticated mathematical modeling, processes and algorithms to conduct analysis and risk factor simulation. The role exercises a high degree of independent judgement to support the development of incorporating consumer behavior analytics into pricing and risk across all Treasury systems. The role drives innovation across areas of responsibility, applying expert interpersonal, communication, and problem-solving skills.

Position Responsibilities

• The Director, ALM Treasury will assist in leading the completion the structural interest rate risk (SIRR) simulation modeling for the Bank's balance sheet to determine the effects of various interest rate scenarios on net interest income and net present value and their corresponding sensitivities;
• Provide leadership in conducting additional SIRR analysis, sensitivity testing and backtesting processes, developing reporting materials for senior management, US Asset Liability Committee (ALCO), US Asset Liability Management Committee (ALMC), US Risk Committee and Board of Directors;
• Prepare monthly and quarterly reporting materials to support management reporting, external regulatory filings and regulatory, compliance and risk management requirements;
• Assist in developing ALM modeling assumptions and quantitative analysis;
• Assist in supporting liquidity, deposit and funding analysis;
• Assist in monitoring regulatory requirements related to structural interest rate risk management and liquidity;

Qualifications

• College degree BS/BA with concentration in business, finance, accounting or equivalent training/experience;
• Masters degree in Business, Finance or Financial Mathematics;
• Strong quantitative background and/or experience;
• Experience with interest rate risk management and modeling structural interest rate risk in QRM is preferred;
• Familiarity with financial analysis and modeling;
• Detail oriented, self-motivated, works independently and possesses a sense of urgency;
• Strong written and oral communication skills;
• Proficiency in …