JOB SUMMARY: The Liquidity and Market Risk Oversight Manager is an integral part of the Enterprise Risk Management organization or second line of defense. S/he will be primarily responsible for the independent review and effective challenge of the Bank's liquidity, interest rate and price risks. In this role, the Manager will perform independent risk assessments as well as work on the development of new frameworks and KRIs. The candidate will work very closely with Corporate Treasury and the Chief Investment Office. The successful candidate is a creative, passionate, collaborative, quantitatively minded individual who takes initiative to drive change and relies on fact based and quantitative analysis. Other projects may be assigned with the evolution of the department. Note: this is currently a single contributor role.
- Develop and own quantitative assessment of liquidity and market risk as independent and effective challenge to the first line of defense.
- Develop quantitative support for various risk limits for several metrics pertaining to market (IRR and Price) and liquidity risk.
- Review and challenge the impact of periodic model changes driving key components of liquidity and IRR quantification.
- Collaborate with other members of ERM to further advance important initiatives such as stress testing, value at risk (VaR) analysis, risk decomposition and economic capital. Contribute to the design and implementation of risk reporting across a variety of media.
- Collaborate on the maintenance of policies and governance documents.
- Work closely with the data and technology teams to improve the data infrastructure needed to support the above initiatives.
- Adheres to and complies with applicable, federal and state laws, regulations and guidance, including those related to anti-money laundering (i.e. Bank Secrecy Act, US PATRIOT Act, etc.).
- Adheres to Bank policies and procedures and completes required training.
- Identifies and reports suspicious activity.
QUALIFICATIONS: To perform this job successfully, an individual must be able to perform each essential duty satisfactorily. The requirements listed below are representative of the knowledge, skill, and/or ability required. Reasonable accommodations may be made to enable individuals with disabilities to perform the essential functions.
- Degree in a quantitative discipline (eg Statistics, Finance, Mathematics, Engineering, Economics) required
- Advanced degree in a quantitative discipline (PhD or MSc in a STEM discipline or Economics/Finance) preferred
- 4-6 Years experience in financial services (banking, asset management, insurance, etc) with significant direct exposure to analytics and modeling applied to enterprise risk management with emphasis on liquidity and market risk required
- 4-6 Years Experience utilizing and merging data from a variety of databases required
- 1-3 Years Experience with a wide assortment of financial modeling techniques, including but not limited to: credit losses, loss migration, interest rates, volatility, derivatives, VaR, prepayments, capital, forecast techniques, stress testing, scenario analysis, sensitivity analysis, RAROC, liquidity, FTP required
- 4-6 Years Experience working in a financial institution with a well-defined and well-functioning 3 Line of Defense model required
- 4-6 Years Prior experience working with databases required
- 1-3 Years Prior experience automating tasks required
LICENSES AND CERTIFICATIONS
- Chartered Financial Analyst (CFA) preferred
- Professional Risk Manager (PRM) preferred
- FRM preferred
KNOWLEDGE, SKILLS, AND ABILITIES
- Proficiency with general quantitative modeling techniques (regression, simulation, optimization) applied to enterprise risk management and some degree of experience developing institution specific risk models and tools.
- Deep understanding of various risk models and some degree of experience developing risk models and tools.
- Excellent communication skills (visual, verbal, and written) with the ability to articulate complex concepts into a format digestible by a diverse audience.
- Proficiency with Tableau as well as the Microsoft Office suite of tools (particularly Excel).
- Proficiency with R and / or Python
- Strong interpersonal skills to aid in working with different divisions within the company.
- Ability to work under pressure, meet deadlines, manage competing initiatives and adapt to an ever changing work pace with a focus on accuracy and attention to detail.
- Knowledge of latest modeling developments / trends