Bank-Fund Staff FCU
Asset Liability Analyst (ALM)
Bank-Fund Staff FCU, Washington, District of Columbia, us, 20022
About BFSFCU:
Bank-Fund Staff Federal Credit Union (BFSFCU) is a full-service financial cooperative that was organized and chartered in 1947 as a convenient place for employees of the World Bank Group and International Monetary Fund and their families to save and to obtain credit. Located in Washington, DC, BFSFCU maintains three full-service branches in downtown as well as a full-service Lending Center near Farragut West metro station. This position is classified as a hybrid role which means that on site work will be expected. After completion of training for the role, staff generally work on site 40% of the time but this is subject to change based on health and safety standards and operational need.
Summary :
The successful candidate will support programs and/or models that evaluate the organization's asset/liability strategy as well as assist with the development of critical analyses that drive decision-making for the credit union's balance sheet. A key function for this role will be to assist with the design/development/deployment of auto-mated systems to manage and analyze data, monitor and report on interest rate risk and liquidity risk, and perform forecasting, periodic stress testing, and scenario analysis. The Associate will also assist in the development and deployment of strategies de-signed to mitigate risks while maximizing returns, and will contribute to a collaborative environment that is focused on putting the best ideas into practice.
The Associate will also serve in a key role as a back-up for others in the finance department and undertake additional work-related duties as assigned by the ALM Manager, Treasurer, and/or Chief Financial & Strategic Officer
Responsibilities :
ReportingProduce regular market pricing reports that illustrate the competitive landscape of the primary market and disposition opportunities in the secondary marketAssist in preparation of executive level presentations (ALCO, Board, etc.)Assist in reporting the interest rate risk position, including duration of equity, economic value of equity sensitivity, and earnings at riskCommunicate valuation and net interest income analytics to senior managementContribute to investment activity and return attribution reporting for senior management re-view and inclusion in the monthly and annual financial statementsReport results of Asset-Liability Management (ALM) Stress Tests (Liquidity, IRR, and Capital)Documentation
Assist in the documentation, implementation, and monitoring of policies, procedures, and practices for interest rate, liquidity, and funding risk, as well as investment portfolio managementDevelop documentation for modeling processes and data managementCreate and maintain documentation for procedures, analysis, and control evidenceUpdate procedures and identify opportunities to improve processesSoftware Development & Data Management
Design and implement new softwareImplement and deploy automated solutions for the collection of data and the production of risk metrics reportsStreamline, re-factor, and enhance existing risk and performance analytics and processesConduct data querying, manipulation, transformation, and analysis of large data setsContribute to the process of model and technology improvement across various analytic and database toolsDesign, build, and maintain a robust framework for the efficient, timely, and accurate production of summary risk information for subsequent distribution to senior management, board members, and regulatorsEnhance the data and reporting infrastructure to allow for faster and more effective information flowEnhance validation, analysis, and utilization of dataExplore new concepts and technologies related to data and analyticsOperate data platform to deliver easy-to-use analyticsAssist with the design and implementation of data models, tools, processes, and governance for analytic systems used in ALMAnalyses
Conduct analyses to validate models (e.g. prepayment), market inputs (e.g. volatility), and re-ported results to ensure adequate modeling and accurate balance sheet risk reportingDevelop analytical models to explain the change in values of assets and liabilities, and provide attribution and sensitivity analyses for all inputs and assumptions that may drive gains or lossesImplement new measures to quantify risk, assess portfolio manager performance, and monitor portfolio constructionManage and analyze data for the purpose of generating collateral cashflows and related calculationsModel, analyze, and report re-pricing mismatches, basis risk, yield curve risk, and options riskPerform model governance activities consistent with best practices and regulatory requirementsAssist in the development of liquidity risk measurement and monitoring techniques and systems, and in monitoring liquidity and cash flow projections to ensure that risk limit thresholds are not exceededEvaluate the performance of a variety of asset and liability portfolios by employing quantitative and qualitative analysisPerform Net Interest Income and Economic Value of Equity forecasting and "What-If" analysesReview analytical tools, methodologies, and third party reports to ensure that high-quality as-set and liability economic analysis is being performedAssist with back testing model assumptions and results to validate and improve forecastingAssist in business planning, budgeting, and stress testing processesMaintain solid understanding of evolving regulatory requirementsChallenge the status quo and seek opportunities to make processes more robust, accurate and comprehensiveAssist in various planned and ad hoc corporate projects and initiatives like stress testing, fore-casting, corporate planning, quarterly earnings preparation, and other analysis as necessaryCompliance
Successfully participate in annual Information Security refresher training. Comply with the In-formation Security Policy, including the immediate reporting of unusual or suspicious activity to management and the Information Security Officer. Follow all procedures to protect company computers from viruses, and to maintain the security and confidentiality of Credit Union data.Participate in annual Bank Secrecy Act (BSA) and Office of Foreign Assets Control (OFAC) training and demonstrate knowledge and understanding of the BSA and OFAC, including the immediate reporting of unusual or suspicious activity to the Risk Management Department. Undertake additional training specific to daily responsibilities and as required to ensure continued compliance with all applicable regulations.Ensure the Credit Union's safe harbor protections as allowed by the BSA. Understand that if confronted with knowledge of existence of a Suspicious Activity Report (SAR), an obligation exists to preserve the confidentiality of that SAR, as well as any information that may reveal the existence of a SAR. Maintain awareness of, and immediately report to the Compliance Officer, any unauthorized disclosure of a SAR, or unauthorized disclosure of information related to a SAR. Understand that failure to do so is a violation of federal law and may lead to both civil and criminal penalties for SAR disclosure violations.Maintains a professional, positive attitude at all times. Serves as a role model for employees.Undertakes other work-related duties as assigned by the ALM ManagerRequirements
Minimum Qualifications or Knowledge, Skills and Abilities Required
A keen interest in financial markets is essentialExperience working with a variety of technical and market tools such as BloombergExperience in statistical programming software such as MATLAB, R, SAS, or other related technical computing packagesMust have knowledge of mathematical option pricing models including Black-Scholes and the binomial modelDirect work experience with Option Adjusted Spread (OAS) methodologies and Monte Carlo simulationsMust have knowledge of derivative instruments including equity & index options and detailed understanding of options risk metrics, (delta, gamma, vega, etc.)Deep expertise in relational database and SQLStrong understanding of data warehousing, analytics, reporting, and best practices.Excellent problem solving analytical skills, detail-orientation, independent thinking, and organizational skillsKnowledge of risk management techniques and quantitative tools such as VaRSelf-directed and motivated to solve urgent problems by conducting ad hoc analysis and/or reaching out to other departments as necessarySolid understanding of industry practices in modeling mortgage prepayments and other aspects of borrower behavior such as delinquencies and defaultsUnderstanding of structured finances, such as MBS and CMO cash flowsEducation :
Bachelor's degree in Finance, Mathematics, Physics, Actuarial Science, Economics, Computer Science, or a related field requiredMaster's Degree desirable / preferredProfessional designation (CFA, FRM, PRM), highly preferred. If professional designation is not currently obtained, must be able to obtain with 24 months of hire.Experience :
5+ Years of experience in a similar position (investments, actuary, treasury, ALM, etc.)In corporate treasury or finance at a banking institutionDirectly related to asset liability management or interest rate risk managementPerforming financial analyses and preparing reports
3+ Years of experience
•Modeling Fixed-Income products and reviewing results
•Writing and maintaining programs (Python preferred) to automate workflows
•Constructing relational database queries (SQL/SAS)
3+ Years of experience
•Executing or supporting capital markets transactions for a banking institution
The anticipated annualized base salary range for this position is $128,000 to $160,000. Final base salary for this role will be based on the individual's job-related experience, skillset, training, certifications and market demands. The benefits available for this full-time position include but are not limited to: medical, dental, and vision insurance, 401(k) plan, life insurance coverage, disability benefits, tuition assistance program and paid time off, including paid parental leave benefits. In addition to base compensation salary, this role position is eligible for an annual incentive plan.
Salary Description
$128,000 to $160,000 Annualized
Bank-Fund Staff Federal Credit Union (BFSFCU) is a full-service financial cooperative that was organized and chartered in 1947 as a convenient place for employees of the World Bank Group and International Monetary Fund and their families to save and to obtain credit. Located in Washington, DC, BFSFCU maintains three full-service branches in downtown as well as a full-service Lending Center near Farragut West metro station. This position is classified as a hybrid role which means that on site work will be expected. After completion of training for the role, staff generally work on site 40% of the time but this is subject to change based on health and safety standards and operational need.
Summary :
The successful candidate will support programs and/or models that evaluate the organization's asset/liability strategy as well as assist with the development of critical analyses that drive decision-making for the credit union's balance sheet. A key function for this role will be to assist with the design/development/deployment of auto-mated systems to manage and analyze data, monitor and report on interest rate risk and liquidity risk, and perform forecasting, periodic stress testing, and scenario analysis. The Associate will also assist in the development and deployment of strategies de-signed to mitigate risks while maximizing returns, and will contribute to a collaborative environment that is focused on putting the best ideas into practice.
The Associate will also serve in a key role as a back-up for others in the finance department and undertake additional work-related duties as assigned by the ALM Manager, Treasurer, and/or Chief Financial & Strategic Officer
Responsibilities :
ReportingProduce regular market pricing reports that illustrate the competitive landscape of the primary market and disposition opportunities in the secondary marketAssist in preparation of executive level presentations (ALCO, Board, etc.)Assist in reporting the interest rate risk position, including duration of equity, economic value of equity sensitivity, and earnings at riskCommunicate valuation and net interest income analytics to senior managementContribute to investment activity and return attribution reporting for senior management re-view and inclusion in the monthly and annual financial statementsReport results of Asset-Liability Management (ALM) Stress Tests (Liquidity, IRR, and Capital)Documentation
Assist in the documentation, implementation, and monitoring of policies, procedures, and practices for interest rate, liquidity, and funding risk, as well as investment portfolio managementDevelop documentation for modeling processes and data managementCreate and maintain documentation for procedures, analysis, and control evidenceUpdate procedures and identify opportunities to improve processesSoftware Development & Data Management
Design and implement new softwareImplement and deploy automated solutions for the collection of data and the production of risk metrics reportsStreamline, re-factor, and enhance existing risk and performance analytics and processesConduct data querying, manipulation, transformation, and analysis of large data setsContribute to the process of model and technology improvement across various analytic and database toolsDesign, build, and maintain a robust framework for the efficient, timely, and accurate production of summary risk information for subsequent distribution to senior management, board members, and regulatorsEnhance the data and reporting infrastructure to allow for faster and more effective information flowEnhance validation, analysis, and utilization of dataExplore new concepts and technologies related to data and analyticsOperate data platform to deliver easy-to-use analyticsAssist with the design and implementation of data models, tools, processes, and governance for analytic systems used in ALMAnalyses
Conduct analyses to validate models (e.g. prepayment), market inputs (e.g. volatility), and re-ported results to ensure adequate modeling and accurate balance sheet risk reportingDevelop analytical models to explain the change in values of assets and liabilities, and provide attribution and sensitivity analyses for all inputs and assumptions that may drive gains or lossesImplement new measures to quantify risk, assess portfolio manager performance, and monitor portfolio constructionManage and analyze data for the purpose of generating collateral cashflows and related calculationsModel, analyze, and report re-pricing mismatches, basis risk, yield curve risk, and options riskPerform model governance activities consistent with best practices and regulatory requirementsAssist in the development of liquidity risk measurement and monitoring techniques and systems, and in monitoring liquidity and cash flow projections to ensure that risk limit thresholds are not exceededEvaluate the performance of a variety of asset and liability portfolios by employing quantitative and qualitative analysisPerform Net Interest Income and Economic Value of Equity forecasting and "What-If" analysesReview analytical tools, methodologies, and third party reports to ensure that high-quality as-set and liability economic analysis is being performedAssist with back testing model assumptions and results to validate and improve forecastingAssist in business planning, budgeting, and stress testing processesMaintain solid understanding of evolving regulatory requirementsChallenge the status quo and seek opportunities to make processes more robust, accurate and comprehensiveAssist in various planned and ad hoc corporate projects and initiatives like stress testing, fore-casting, corporate planning, quarterly earnings preparation, and other analysis as necessaryCompliance
Successfully participate in annual Information Security refresher training. Comply with the In-formation Security Policy, including the immediate reporting of unusual or suspicious activity to management and the Information Security Officer. Follow all procedures to protect company computers from viruses, and to maintain the security and confidentiality of Credit Union data.Participate in annual Bank Secrecy Act (BSA) and Office of Foreign Assets Control (OFAC) training and demonstrate knowledge and understanding of the BSA and OFAC, including the immediate reporting of unusual or suspicious activity to the Risk Management Department. Undertake additional training specific to daily responsibilities and as required to ensure continued compliance with all applicable regulations.Ensure the Credit Union's safe harbor protections as allowed by the BSA. Understand that if confronted with knowledge of existence of a Suspicious Activity Report (SAR), an obligation exists to preserve the confidentiality of that SAR, as well as any information that may reveal the existence of a SAR. Maintain awareness of, and immediately report to the Compliance Officer, any unauthorized disclosure of a SAR, or unauthorized disclosure of information related to a SAR. Understand that failure to do so is a violation of federal law and may lead to both civil and criminal penalties for SAR disclosure violations.Maintains a professional, positive attitude at all times. Serves as a role model for employees.Undertakes other work-related duties as assigned by the ALM ManagerRequirements
Minimum Qualifications or Knowledge, Skills and Abilities Required
A keen interest in financial markets is essentialExperience working with a variety of technical and market tools such as BloombergExperience in statistical programming software such as MATLAB, R, SAS, or other related technical computing packagesMust have knowledge of mathematical option pricing models including Black-Scholes and the binomial modelDirect work experience with Option Adjusted Spread (OAS) methodologies and Monte Carlo simulationsMust have knowledge of derivative instruments including equity & index options and detailed understanding of options risk metrics, (delta, gamma, vega, etc.)Deep expertise in relational database and SQLStrong understanding of data warehousing, analytics, reporting, and best practices.Excellent problem solving analytical skills, detail-orientation, independent thinking, and organizational skillsKnowledge of risk management techniques and quantitative tools such as VaRSelf-directed and motivated to solve urgent problems by conducting ad hoc analysis and/or reaching out to other departments as necessarySolid understanding of industry practices in modeling mortgage prepayments and other aspects of borrower behavior such as delinquencies and defaultsUnderstanding of structured finances, such as MBS and CMO cash flowsEducation :
Bachelor's degree in Finance, Mathematics, Physics, Actuarial Science, Economics, Computer Science, or a related field requiredMaster's Degree desirable / preferredProfessional designation (CFA, FRM, PRM), highly preferred. If professional designation is not currently obtained, must be able to obtain with 24 months of hire.Experience :
5+ Years of experience in a similar position (investments, actuary, treasury, ALM, etc.)In corporate treasury or finance at a banking institutionDirectly related to asset liability management or interest rate risk managementPerforming financial analyses and preparing reports
3+ Years of experience
•Modeling Fixed-Income products and reviewing results
•Writing and maintaining programs (Python preferred) to automate workflows
•Constructing relational database queries (SQL/SAS)
3+ Years of experience
•Executing or supporting capital markets transactions for a banking institution
The anticipated annualized base salary range for this position is $128,000 to $160,000. Final base salary for this role will be based on the individual's job-related experience, skillset, training, certifications and market demands. The benefits available for this full-time position include but are not limited to: medical, dental, and vision insurance, 401(k) plan, life insurance coverage, disability benefits, tuition assistance program and paid time off, including paid parental leave benefits. In addition to base compensation salary, this role position is eligible for an annual incentive plan.
Salary Description
$128,000 to $160,000 Annualized