AVP, ALM Analytics

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 steeringTo assist in the production of monthly reports for the GALCO and BSMCo metrics and KPIs along with supporting analyses.Job PurposeTo 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 AccountabilitiesGeneric AccountabilityEnsure 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 AccountabilityDevelopment 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 QualificationA College or University Degree in Accounting, Finance, Economics, Statistics, or another quantitative fieldMinimum Experience6 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 preferableStrong 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.#J-18808-Ljbffr