We are seeking an experienced ALM Manager to lead the production of Interest Rate Risk in the Banking Book (IRRBB) metrics for major CUSO entities.

Responsibilities:

Lead development, support, maintenance, and documentation of model methodologies and procedures for QRM models.
Monitor compliance of IRRBB metrics with all applicable limits.
Escalate to senior management increased levels of IRR exposures.
Ensure accuracy and reasonableness of ALM model projections.
Lead periodic back testing and sensitivity analysis of modeling assumptions.
Communicate with various teams to develop accurate and reasonable assumptions for IRRBB models.
Lead updates of IRRBB policies and procedures.
Lead annual limit review.
Monitor economic environment and balance sheet trends to identify developments detrimental to the IRRBB.
Propose new mitigation strategies.
Establish strong working relationships within Treasury, Finance and across business units and platforms.

Requirements:

Bachelor's degree in Electronics Engineering, Communication Engineering, Finance, Business, Economics, Accounting, Management Information Systems or a related field.
5 years of progressive, post-baccalaureate work experience.
5 years of experience in designing and implementing frameworks for measuring, monitoring, and mitigating IRRBB.
3 years' experience in developing and maintaining data pipelines for ALM reporting.
Experience with SQL, Python, or R for data extraction, transformation, and validation.
Familiarity with QRM Modelling Platforms.

Benefits:

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ALM Manager

Skills