Investment Associate recruitment
Financial Market Risk Management (FMRM) is part of the Enterprise Risk Management (ERM) organization. It is the group that leads the analysis/communication of income implications of equity market, interest rate and foreign exchange risks. This includes recommending hedge strategies and providing input regarding enterprise risk appetite/tolerance.
For interest rate risk, FMRM is currently developing analytical and technological capability to maintain a quarterly view of interest rate earnings sensitivity with defined policy and governance processes. This risk measure based on earnings risk would supplement other risk metrics, such as ones based on economic capital, duration, replicating portfolio, and statutory reserve adequacy.
The incumbent for this position is expected to play a pivotal role in FMRM's plan in building the enterprise-wide interest rate earnings risk analytics for the Company, and will interact extensively with the business unit partners to produce earnings risk analyses and to communicate results. Additionally the incumbent is expected to work closely with Investment Operations Systems in order to build a robust system for the analysis and to streamline data gathering processes. The incumbent will work both independently and in a team environment with other members of FMRM, business units, and Investment Operations and Systems group.
The incumbent will
• Assume a key role in implementing FMRM's interest rate earnings sensitivity analysis for the Company's various business units. This person will be expected to gain proficiency in all phases of the analysis, including data gathering, reaching consensus on modeling methodology and assumption used in the analysis, and establishing processes for periodic reporting.
• Periodically produce the interest rate earnings risk report for selected business units, and communicate results to various stakeholders in business units and corporate groups.
• Collaborate with Investment Operations Systems to build a .Net based system that automates the production of the interest rate earnings risk analysis. This will require involvement in all phases of the system development cycle including defining business requirements, writing specifications, and testing.
• Identify necessary enhancements to the current analysis, and implement enhancement to the analysis as needed.
• Perform other risk analysis and reporting, and special projects as needed
Additional responsibilities of the position will vary, and will depend largely on the candidate's background, skills and experience.
Skills
Undergraduate or graduate degree in business or a quantitative discipline. FSA/ASA/CERA and/or CFA/FRM/PRM preferred
• At least 3 years of related work experience with emphasis on financial risk management, asset-liability management, and financial modeling at financial institutions or consulting firms
• Excellent oral written communication skills, especially ability to explain technical concepts to various levels of audience are required.
• Demonstrated ability to collaborate with various business partners and establish a professional network
• Previous experience with earnings risk analysis (particularly repricing gap analysis) for a banking book of a financial institution is highly desirable.
• Previous experience with insurance products (i.e. actuarial experiences) is highly desirable.
• Hands-on experience working with a large number of spreadsheets and a vast amount of data from multiple data sources; working knowledge of Access and VBA would be a plus.
• Previous experience in working with programmers and IT professionals to build a system would be a plus.
• Ability to learn quickly and willingness to work flexible hours to meet deadlines