Market Risk Manager - ALM, Convexity, Duration

Responsibilities:

• Build cash flow forecast models in VBA and SQL to include new commercial loans details
• Manage the monthly Asset Liability reporting and meet monthly with COO, CFO and CRO
• Perform risk sensitivity and stress testing of the bank's portfolios for liquidity risk analysis

Requirements:

• Candidates should have a quantitative degree (Math, Physics, Financial Engineering)
• Must have 3+ years of experience in risk management with strong working knowledge of MBS/ABS.
• The role requires demonstrated knowledge of fixed income math concepts: bond math, convexity, and duration.
• The role requires an understanding of prepayment concepts and models, strong technology skills (SQL, VBA) and some model development is a big plus.

• The role requires experience working with ALM systems like Bancware, Empyrean or QRM
• Excellent communication skills are also required.

Keywords: Market Risk Management, RMBS, ALM, Excel, SQL Prepayment Models, Empyrean, QRM, Liquidity Coverage Ratio

Please send resumes to Jim Geiger jeg@analyticrecruiting.com