Interest Rate Risk Manager

Objective of Position: To serve as the primary officer for the interest rate risk management process, including ensuring consistent application of interest rate risk concepts, developing recommendations to ALCO for interest rate risk mitigation strategies, and presentation of analytical results to the Asset/Liability Committee (ALCO). To manage the interest rate risk management process, incorporating earnings at risk, market value at risk, and impacts to capital.

Duties and Responsibilities:

• Supports Treasurer in developing strategies to manage and optimize NII, NIM, MVE and balance sheet composition. Monitors and forecasts key risks including:
• Correctly forecasts $100-300 million of net interest income and impact to income of interest rate changes
• Measurement and mitigation of risk to market value exposure of $3-10 billion balance sheet under various interest rate scenarios
• Identification and monitoring on- and off-balance sheet optionality, including hedges and derivatives as well as embedded options in both assets and liabilities
• Monitoring of counterparty risk and identify exposure
• Serves on ALCO as secretary and subcommittees including: Loan and Deposit Pricing Committees, New Products, and Capital Markets Committees.
• Coordinate Management ALCO and Board ALCO agenda items and materials for Committee Meetings
• Develops internal Treasury forecasts for income statement and balance sheet and incorporates simulation tools to assess internal and external impacts to forecast.
• Utilizes asset / liability risk model (such as Fiserv, Sendero or similar model), data mining and research to develop balance sheet metrics to support recommendations for optimization strategies.
• Develops, modifies and validates assumptions in asset / liability model by working with Treasury, business units and through independent verification and research. Periodically communicates assumptions to ALCO, including any recommendations for changes.
• Coordinates the Bank’s Capital Stress Testing and support capital strategies and capital reporting process.
• Ensures best practice integrity of interest rate risk management, liquidity and capital analysis.
• Leads implementation of IRR model enhancements and upgrades and runs pro-forma balance sheet and income statements analysis.
• Additional responsibilities include managing the customer swap program, coordinating the balance sheet swap program, assist annually in the creation of NII budget, and working with bankers on loan relationship pricing.
• Works with cross functional teams to develop, validate and implement FTP methodologies for balance sheet items and communicates and educates on impacts of changes.
• Manages customer profitability modeling, and assists in the development of business unit profitability.
• Identifies areas of potential risk and recommends ALM actions using approved instruments (e.g. derivative or cash instruments) to help manage desired balance sheet risk profile.
• Develops strong cross functional relationship with Finance and Product managers for validation and understanding of IRR characteristics of bank’s deposit and lending products.
• Monitors balance sheet trends/exposure to interest rate risk and incorporates into metrics reporting.
• Develops and enhances ALM procedures and expertise in ALM policies, risk limits, and processes.
• Continuously works to improve Treasury’s ability to maximize use of data.
• Compiles other high level analysis as required.

Note: Nothing in this job description restricts management’s right to assign or reassign duties and responsibilities to this job at any time.

Requirements:

• BS/BA degree (MBA/CFA preferred) with 5 plus years of Bank or Corporate Treasury experience
• Prior experience with loan and deposit pricing and Funds Transfer Pricing and derivatives trading preferred
• Knowledge of Bank asset/liability standards and practices, and at least 4 years of experience with asset / liability models (Fiserv, Sendero or related model); knowledge of Bloomberg tools desirable
• Excellent PC skills
• Experience with database applications
• Familiarity with fixed income and capital markets
• Strong analytic and financial skills
• Good communication and presentation skills
• Ability to deal with ambiguity and create clear action plans
• Ability to present qualitative information using available tools for clear and coherent delivery to business partners

Equal Opportunity Employer/Protected Veterans/Individuals with Disabilities

The contractor will not discharge or in any other manner discriminate against employees or applicants because they have inquired about, discussed, or disclosed their own pay or the pay of another employee or applicant. However, employees who have access to the compensation information of other employees or applicants as a part of their essential job functions cannot disclose the pay of other employees or applicants to individuals who do not otherwise have access to compensation information, unless the disclosure is (a) in response to a formal complaint or charge, (b) in furtherance of an investigation, proceeding, hearing, or action, including an investigation conducted by the employer, or (c) consistent with the contractor’s legal duty to furnish information. 41 CFR 60-1.35(c)