Apply for the Asset Liability Associate position
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Office Status: Hybrid
Salary: $75,000 – $90,000
- Support interest rate risk management by preparing net interest income projections; developing assumptions for simulations; performing interest rate risk analysis; and quantifying impact of basis risk, yield curve risk and reprising risk.
- Responsible for completion and review of quarterly imports of deposit and asset balances from core applications into IRR model.
- Assists in the testing/validation of model changes.
- Develops improvements to risk models, methods, procedures and systems.
- Tracking and monitoring key market data and trends that impact portfolio performance.
- Calculating and back-testing key assumptions in models (e.g., Mortgage prepayment speeds, Beta factors, Decay rates, etc.)
- Preparing analytics, presentations and developing reports for use by the ALCO Committee.
- Assist with interest rate risk (inclusive of yield curve risk, basis risk, reset risk and optionality) analysis and production of risk reporting.
- Analyze, compile and present interest rate risks in the banking industry.
- Reconcile the level of interest rate risks in the firm against peer groups.
- Assist accounting department with month-end closing.
- Prepare various daily and monthly reconciliations.
- Assist Controller with the quarterly Call Report preparation.
- Assist with standard internal audits and year-end audit.
- Assist with the annual budget and the branch profitability reviews and reports.
- Other duties may be assigned as needed.
- Implements programming code changes as part of the model development process.