Assistant Portfolio Manager, Treasury

Assists the AL Manager in the oversight of interest rate risk management, financial analysis and related strategy development for the bank. As an interest rate risk management professional, the incumbent will actively analyze multiple portfolios and direct others to enhance the analytical process in which senior management maintains the highest degree of confidence. The incumbent provides technical collaboration by assisting in the implementation of appropriate technology and by applying quantitative techniques to identify risks and recommends strategies which protect the companys earnings and equity.

• Researching, and implementing analyzing the investment portfolio and hedging strategies. Derivatives focus will include a range of products from plain-vanilla futures and forwards to OTC structured derivatives.
• Incumbent will be expected to analyze potential investments with varying characteristics across a wide range of sectors. Position must continually strive to better measure performance, manage risks, and control costs.
• Support the maintenance of asset valuation models capable of providing sensitivity analysis and quantifying impact of assumption changes on capital absorption levels and returns on investment.
• Ability to build and maintain pricing and risk models. Position will be expected to work with developers to integrate a new vendor-based model with legacy portfolio and existing risk management systems to provide centralized view of balance sheet risks, funds transfer pricing, and business unit profitability.
• Position is a team member that:
  • Strives to achieve best practice, proactively informs itself on industry, capital market and risk management trends,
  • Maintains a reliable process for assessing and recommending balance sheet management strategies, and informs senior management reliably and timely about hedge exposure risk issues.
  • Supports Treasurys participation in the financial planning and budgeting process by providing detailed profitability analysis on specific business units and recommending balance sheet management and performance planning strategies. This may include assessing the impact of securitization, capital, and risk-weighted asset growth.
  • Provides authoritative guidance and recommendations to senior management on balance sheet management issues. Such issues include, but are not limited to market risks, balance sheet structure, the investment portfolio, mortgage banking, and MSR portfolios, as well as, funding and hedging.
  • Assists with market risk analyses, helps to identify and analyzes balance sheet risks using advanced quantitative analytics (e.g. term structure modeling, value at risk and embedded optionality) and recommends risk management strategies.
• Prepared external reporting requirements regarding interest rate risk analysis required by bank regulators.
• Other duties as assigned.

• BS degree in Finance, Economics or Math. MBA, CFA, and/or FRM strongly preferred.
• 7 years of financial institution experience strongly preferred. A minimum of three years experience in interest rate risk and balance sheet analysis with direct experience hedging mortgage products, mortgage servicing rights, or balance sheet risks.
• Proven ability to perform complex analysis involving application of statistics, calculus, option theory, and other concepts pertaining to balance sheet management. Thorough understanding of asset/liability management concepts such as NII simulation modeling, MVPE, OAS, and value at risk.
• Ability to formulate original solutions based on creative, objective, and logical analysis of facts and to persuasively present finding to senior management.
• Goal minded and team-oriented. Able to motivate team and mobilize resources to accomplish objectives.
• Ability to think strategically and to formulate sound balance sheet management policies.
• Computer literate with strong PC skills.
• Proven verbal and written communication skills as well as experience preparing and delivering financial presentations with the ability to target audiences appropriately.
• Familiar with asset/liability risk management systems.
• Ability to work independently.

• Able to operate a Personal Computer and view information on a monitor.
• Must be able to sit for many hours each day.
• Must be able to communicate via telephone and possess dexterity to include filing document, reaching and bending.
• May be required to stand for extended periods of time.
• Ability to lift or carry up to 10 pounds
• Ability to speak and understand English and express ideas and have difficult conversation in person and over the telephone
• Ability to listen and comprehend speech.
• Ability to problem solve, make decisions, interpret data and information, read, write and organize information in an orderly manner.
• Willing and able to travel occasionally as needed.

• Normal business office environment.
• Ability to work in artificial light for extended periods of time

Finance and Treasury (Corporate)