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Investment Banking Client

Asset Liability Associate

  • Long Island City, NY
  • Full Time

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Office Status: Hybrid

Salary: $75,000 – $90,000

Responsibilities:

  • 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.