Job Purpose and Scope:
Responsible for understanding the fundamental financial modeling concepts that generate results used to provide analysis and recommendations around the Bank’s interest rate risk position, liquidity risk position, and stressed market risk position. Provide the basis for oversight and challenge of modeling results and strategies.
Essential Job Functions:
1. Effectively challenges modeling results used in interest rate risk, and/or liquidity risk, and/or stressed market risk modeling.
2. Reviews model output for reasonableness and applicability and challenges any deviations.
3. Uses data and modeling results to create trend analysis for monitoring assumptions and results.
4. Supports governance process by preparing, challenging, or reviewing various reports and communications for ALCO, the Board, federal and state regulatory agencies, and various other internal and external constituents.
5. Ensures review and compliance with interest rate risk, liquidity risk management and other market risk policies, and any regulatory pronouncements on these topics.
6. Assists in review and challenge of financial reporting risk elements, as needed.
7. Proposes sets of limits in relation with Enterprise Risk Management function.
8. Suggests appropriate changes of methodology.
9. Ensures all risks are monitored accurately.
10. Monitors and analyzes market risk exposures in relation with the market activity on a daily basis.
11. Instructs over limits and proposes action.
12. Defines and maintains up-to-date procedures for all related market risk activities.
13. Defines appropriate level of market risk and tolerance ranges in relation to corresponding Enterprise Risk Management function and Corporate Risk Appetite.
14. Formalizes Market Risk Opinion to ALCO, Executive Risk Committee and Board Risk Committee.
15. Ensures jointly with the Finance teams the review of the liquidity risk profile, the liquidity stress analysis and liquidity risk indictors.
16. Supervises, leads and/or mentors other staff.
17. Maintains good punctuality and attendance to work.
18. Regularly exercises discretion and judgment in the performance of essential job functions.
19. Follows Bank policy, procedures and guidelines.
Knowledge, Skills, & Abilities:
1. Knowledge of financial products.
- Knowledge of statistical and econometric theory, logistic regression, linear regression, time series modeling, operations research and scenario-based simulations.
- Knowledge of model development and implementation procedures.
4. Knowledge of market risk issues (i.e., VaR, Stress Testing, IRR, Liquidity)
5. Ability to learn relevant technical practices and principles.
6. Ability to demonstrate effective financial analysis skills.
7. Ability to communicate effectively both verbally and in writing.
8. Ability to challenge financial concepts, understand the consequences of actions, and use consequences to inform future challenge.
- Ability to work both independently and as part of cross-functional teams.
- Ability to prepare and present reports to all audiences including executives and boards.
- Ability to demonstrate effective leadership skills in a fast-paced work environment.
- Ability to lead and mentor others.
- Ability to demonstrate effective business acumen and analytical and problem solving skills.
- Ability to demonstrate effective interpersonal skills with both customers and employees.
- Skill in using computer and Microsoft Office, including Word, Excel, Outlook and PowerPoint.
1. Bachelor degree in a related field, or commensurate work experience, required; master degree or PhD preferred.
2. Minimum of seven (7) years of related work experience in the financial industry required.
Equipment Used in Job Performance/Working Environment:
3. Multifunction device
Major Job Demands (Physical/Mental):