Vice President Market Risk ALM Strategy recruitment
Responsibilities:
• Drive the cross-functional development, where needed, of sophisticated balance sheet optimization modeling, taking into consideration multiple factors including earnings, rate risk profile, funding, capital, hedge accounting and other factors
• Lead development of additional balance sheet management capabilities and hedging tactics, including FAS 133-compliant strategy development
• Establish interest rate risk targets and tolerances, develop strategies to achieve these objectives, and quantify the Bank’s market risk – including rate risk, basis risk, curve exposure and foreign exchange risk
• Develop quantitative and empirically risk targets for IRR to include duration and convexity targeting, and risk positioning along the curve relative to established risk limits
• Recommend and enhance existing risk measurement methodologies to provide greater line of sight to market risk drivers
• Provide thought leadership on developing balance sheet optimization and scenario analysis
• Play a leadership role in integration activities involving bank acquisitions
Requirements:
• 7+ years of experience in bank Asset/Liability Management (ALM) and/or Capital Markets
• In-depth understanding of bank asset liability management practices including knowledge of credit cards, mortgage loans, complex mortgage securities, deposits, and securitizations
• Prior experience with QRM, Intex, Murex, and AD-Co or equivalent
• FAS 133 (ASC 815) Hedge Accounting knowledge
• CFA or CPA
• Excellent communication and presentation skills
• PhD / Master’s Degree in Statistics, Economics, Industrial Engineering or Operations Research
For immediate consideration, please forward resume and contact details to: info@ashtonlanegroup.com
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