SVP PORT ANALYTICS & STRAT Job in Los Angeles, California US
SVP PORT ANALYTICS STRAT
Headquartered in San Francisco, UnionBanCal Corporation is a financial holding company with assets of $89.7 billion at December 31, 2011. Its primary subsidiary, Union Bank, N.A., is a full-service commercial bank providing an array of financial services to individuals, small businesses, middle-market companies, and major corporations. The bank operated 414 branches in California, Washington, Oregon, Texas and New York, as well as two international offices, on December 31, 2011. UnionBanCal Corporation is a wholly-owned subsidiary of The Bank of Tokyo-Mitsubishi UFJ, Ltd., which is a subsidiary of Mitsubishi UFJ Financial Group, Inc. Union Bank is a proud member of the Mitsubishi UFJ Financial Group (MUFG, NYSE:MTU), one of the world's largest financial organizations. Visit www.unionbank.com for more information. Job Summary As a senior member of the Investment team the Head of Portfolio Analytics will have primary responsibility for all portfolio level analytical reviews, hedging, strategic initiatives and asset allocation for the Bank's Treasury Investments. Key responsibilities will include identifying, researching, developing and recommending portfolio level investment opportunities and collaborating with Portfolio Managers to execute on approved strategies. This position will report to the SVP, Deputy Treasurer or Chief Investment Officer. Management or Supervision Direct the Portfolio Analytics team comprised of three to five investment professionals and analysts to conduct fixed income research, portfolio optimization, and internal risk ratings measurement on Treasury investments. Major Responsibilities 45% Develop portfolio optimization recommendations taking into account Portfolio objectives and applicable regulatory, compliance, legal and accounting issues. Conduct analysis and modeling of quantitative credit risk across the consolidated fixed income investment portfolio and associated sub-portfolios; supports the monitoring of portfolio concentrations and exposures to various sectors, securities, duration levels and changes in market factors. Perform ongoing evaluation of credit risk models and measurement systems for integration into fixed income investment strategies and capabilities; develops and builds mathematical models to measure portfolio risk; designs and performs scenario analyses (stress testing, opportunity assessment, sensitivity and worst case) to assess portfolio exposure to credit and market factors. 30% Identify and evaluate risks across investment portfolio including market, liquidity, counterparty and credit as appropriate. Leverage various software systems and expertise in prepayment and credit models to perform risk analysis in support of internal investment ratings including scenario analysis and stress testing. Partner with Market Risk Management, Credit, Controller's and other appropriate parties to deliver on joint initiatives and meet internal risk information requirements. Collaborate with ALM Strategies to support balance sheet management objectives. 15% Collaborate with Portfolio Managers for implementation of approved strategies to balance book yield, total return and risk dimensions. Develop relationships with Wall Street dealers and investors to leverage market research and expertise for Treasury Portfolios. Assesses the feasibility of potential hedging strategies using derivatives such as credit default swaps, swaps, and options; determines and analyzes appropriate derivative instruments for hedging certain risk characteristics, including measuring and monitoring the effectiveness of potential and executed hedges. 10% Conduct back-testing of strategy, VaR and credit risk exposure impact on PL; calculates investment PL and performs PL attribution. Possess good understanding of and experience with Credit Value at Risk (CVaR) modeling and analysis, Economic Capital and Asset Liability Management; has strong knowledge of investment products, strategies and markets with in-depth understanding of quantitative credit risk models.