Treasury Risk Analytics Manager- ALM, Convexity, Duration

Responsibilities:

The main responsibility of this manager role is focused on implementing ALM models, and managing regular reporting and analytics processes.

• Manage a financial risk program, (people, models, infrastructure) for a major financial firm
• 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:

• Familiarity with ALM systems like Bancware, Empyrean, and QRM is strongly preferred. This role is 100% remote.
• Candidates must have a quantitative degree (Math, Physics, Financial Engineering)
• Must have 5+ years of experience in risk management with strong working knowledge of MBS/ABS.
• Must have proven people management experience in a financial risk management role with a treasury, asset liability management or capital markets firm
• The role requires demonstrated knowledge of fixed income math concepts: bond math, convexity, duration.
• The role requires an understanding of prepayment concepts and models, strong technology skills (SQL, VBA) and some model development is a big plus.
• Excellent people management, project management and strong communication skills are also required.
• This role is 100% Remote

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

Please send resumes to Jim Geiger jeg@analyticrecruiting.com