Senior Quantitative Risk Manager - Alm Modeling (Hybrid)

This position for supporting ALM Modeling team in measurement, understanding and management of ALM/IRR risk through variances financial models including mortgage prepayment and deposit behavior models and appropriate quantitative and analytical practices and processes. Conducts and develops quantitative and analytic models, assessments and/or applications in support of risk management efforts that assess the market and identify risks and gaps in existing or proposed processes and supports strategic decision making.

• Data Analysis - Applies sophisticated analytics to assess future risk, opportunities, and effectiveness and translates results into meaningful solutions to improve decision making. Leads the ongoing development and support of methodologies, updates, and support for key assumptions, and/or input parameters for ALM modeling including:
  • Develop and enhance prepayment model, assumption and inputs.
  • Analyze interest rate risk impacts from deposits behavior models including non-maturity deposit attrition as well as deposit pricing.
  • Develop assumption for new products.
  • Conduct Attribution analysis to refine understanding of market risk impact.
• Business Support – Applies innovative and scientific/quantitative analytical approaches to draw conclusions and makes recommendations to answer business objectives and lead change. Collaborates with model validation team to go through model validation, performs performance monitoring and sensitivity test. Tests model change implementation and analyzes model change impacts. Coordinates closely with internal stakeholders, including liquidity, investment, capital, and funding teams, as well as market risk oversight group and internal audit to promote high-quality, consistent, and robust methodologies, assumptions, and approaches.
• Reporting - Produces reports based on data analysis, company trends, and risk factors. Conveys patterns, problems, and areas of improvement.

Bachelor's Degree and 6 years of experience in Finance or Analytics OR High School Diploma or GED and 10 years of experience in Finance or Analytics

Other preferred qualifications

• 5+ years of functional experience in asset/liability management (ALM).
• 3+ years of experience in mortgage and/or deposit behavior modeling.
• 3+ years of experience with QRM or other ALM software.
• 3+ years of experience in statistical /quantitative analysis tools such as SQL, Python, R or SAS.