AVP ALM Analytics

Job Purpose

• To deliver and enhance balance sheet analytics supporting behavioral liquidity analysis, IRR, Structural Hedging and other Macro modelling requirements.
• Support business engagement through development of business intelligence data to enhance FTP and Balance Sheet planning strategy and steering
• To assist in the production of monthly reports for the GALCO and BSMCo metrics and KPIs along with supporting analyses.
  
  

Key Accountabilities

Generic Accountability

• Ensure all related policies and documentations are accurate and up to date.
• Work closely with IT, Finance, and Risk teams to ensure accurate data input and output.
• Develop a holistic understanding of the behavioral assumptions, market data, and regulatory requirements underpinning the FTP and liquidity assumptions.
• Develop a comprehensive understanding of all products and instruments within the bank.
• Identify opportunities to improve efficiency of existing processes.
• Perform ad-hoc analysis such as customer, product, and financial analysis to support requirements by the senior management and business counterparts.
  
  

Specific Accountability

• Development of product rate repricing models to support NIM forecasts.
• Quarterly refresh and back-testing of behavioral and analytical models including but not limited to Core CASA model, term deposit rollover model, and loan prepayment model.
• Perform periodic and annual model/system enhancements of existing behavioral models.
• Periodical review of behavioral model practice guides and new business FTP calculator in-line with the latest liquidity and FTP assumptions as approved by GALCO.
• Ensure that outputs from FTP/risk systems (i.e. OFFSA, FIS) are in-line with the models.
• Support the Balance Sheet Management team in the monthly preparation of GALCO pack along with supporting analytics around FTP, IRRBB, NIM, and/or liquidity.
  
  

Minimum Qualification

A College or University Degree in Accounting, Finance, Economics, Statistics, or another quantitative field

Minimum Experience

• 6 years’ experience in behavioral analytics, IRRBB, or risk management ideally for within the financial industry.
• Experience in funds transfer pricing, IRRBB and/or liquidity reporting is preferable
• Strong technical competency in risk management and business intelligence frameworks.
• Experience with supporting technologies such as SAS, VBA, SQL, and Big Data platforms.
• Strong analytical and quantitative skills, critical thinking, and decision-making abilities.
• Good understanding of financial products and instruments.
• Experience working with management to establish effective models and reports.
  
  

Experience with regulatory frameworks including but not limited to: Basel II / Basel III, IRRBB, etc.

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