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Responsible for developing and managing quantitative balance sheet strategies that lead to more optimal use of capital and enhanced earnings in accordance with PenFed's risk appetite.
Lead the development portfolio asset mix/concentration, funding & liquidity, investments, derivative, and hedging balance sheet strategies in collaboration with the Treasury department.
Manage the overall framework to identify and measure interest rate risk (IRR) using the Quantitative Risk Management (QRM) system with responsibility for the credit union's valuation processes and assumptions, EVE and NII shock scenarios, and integration with income forecasting.
Lead the integrated capital planning and stress testing analytical process for regulatory submission including the development of a capital plan, scenario design and development, capital adequacy assessments, and the formulation of Supervisory Stress Testing (SST) results.
Responsible for the behavioral modeling and quantitative analytic functional group that support capital planning and stress testing, interest rate risk, and balance sheet/earnings forecasting including prepayment/attrition modeling, new volume origination models, non-maturity deposit modeling, and price elasticity models.
Provide clear and insightful analysis, feedback and interpretation by way of written and/or oral reports to business units, senior management and the Board.
Maintain effective relationships with product teams to ensure balance sheet portfolio and earnings strategies are aligned with individual line of business product level strategies.
Continually improve and enhance capital planning and stress testing, interest rate risk and quantitative modeling approaches and methodologies to promote alignment with industry best practices.
Advanced degree in a quantitative subject such as Finance, Economics, Mathematics, or Statistics; or a combination of education and experience that provides the necessary skills and knowledge to satisfactorily perform the job; MBA/CFA professional certification required.
Minimum of fifteen 12+ year's experience in the areas of market risk, capital markets, and balance sheet management in a financial institution required.
Minimum of 5 year's related experience in a Director role required.
QRM Balance Sheet Management Framework, QRM Mortgage Banking System, or QRM Mortgage Servicing Rights System experience is preferred.
Excellent understanding of the regulatory capital stress testing and/or the Federal Reserve's CCAR and DFAST testing process, fixed income capital markets instruments and derivatives, and relevant generally accepted accounting principles (GAAP).
Ability to manage multiple projects simultaneously and implement rapid changes in project direction.
Internal Number: 6547112
About Selby Jennings Buyside
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