Manager, Interest Rate Risk

At VyStar, we offer competitive pay, an excellent benefit package that includes a 401(k) Plan, an extensive paid technical and on-the-job training program, and tuition reimbursement--available to all full and part time employees. Part time positions start at a minimum of 30 hours per week.

We encourage you to become a part of VyStar Credit Union's family of employees.

Manager, Interest Rate Risk

ACCOUNTABILITY STATEMENT

The role is within the ALM and Treasury area of the Financial Risk Management (FRM) function. The role will assist the Vice President of ALM and Treasury in carrying out the broader FRM department mission, including interest rate risk management.

FRM is responsible for the entire spectrum of financial risks including liquidity, market risk (interest rate risk) and credit risk. FRM Team's mandate is to balance risks and their corresponding returns through: Identifying, Monitoring, Managing and communicating these risks to the senior management.

FRM manages the integration of financial risks through state-of-the-art economic capital and ALM modeling, translating into impactful balance sheet strategies and achieving regulatory requirements. This includes back testing, regulatory stress testing, assumption development (deposit lives & re-pricing, asset prepays) calibration of all models and other modeling/forecasting responsibilities as needs arise. ALM and Treasury is also responsible for the monthly ALCO package, annual regulatory examination, balance sheet strategy development, and performing summary & detailed written analysis on all model results. The manager also maintains documentation of all models and methodologies, including a model catalog with documentation and testing of all model changes. The team will work closely with the Liquidity Risk, Credit Risk and Accounting teams on a day to day basis. The team is also responsible for analyzing historical balance sheet growth and pricing trends, used to develop forecast for the budget/annual operating plan (AOP).

The incumbent will support the FRM function, serving as the lead for Interest Rate Risk at the direction of the VP. This includes managing the ALM modeling process, data feed, assumption building, stress testing, analysis and reporting.

This is a highly technical role. The incumbent may come up with solutions to different and unexpected problems and support the VP in handling the challenges that come up.

ESSENTIAL FUNCTIONS

• Evaluates interest rate risk on business strategies, including M&A transactions.
• Evaluates interest rate risk in various scenarios and supports strategy formation to mitigate margin compression.
• Supports the evaluation and analysis of the ALM strategies.
• Supports evaluation of Swap derivative contracts to mitigate interest rate risk and manage cost of funds.
• Leads and enhances Market Risk modeling (interest rate risk) including stochastic cash-flow and earnings analysis, risk factors and attribution analysis, primarily through the ALM model.
  
  • Net interest income (NII), net income (NI) and net economic value (NEV) scenario analysis including sensitivity and stress-testing of risk factors, model settings, assumptions, yield curve twists, ramps, etc.
  • Behavioral modeling of deposits including non-maturity deposit lives and stability as well as deposit rate sensitivity
  • Generation of prepayment/pay-down assumptions/inputs.
  • Conducts attribution analysis to refine understanding of market risk impact
  • Manages the ALM model.
• Assist with and maintain other Financial Risk models including Credit Risk Model, Economic Capital Model and other models.
• Assist and maintain other behavioral models, including:
  
  • Modeling of credit risk, measuring key parameters and PD/LGD development, and supporting historical and projected default functions.
• Modeling of critical non-interest income components of capital planning and budgeting process.
• Recommend model enhancements and reporting improvements.
• Maintain a robust ALM Model through sound analysis and model management.
• Demonstrate superior analytical skills in detailed and summary analysis of reporting results.
• Take ownership of maintenance and validation of data sources to ensure completeness of data for Financial Risk analysis purposes.
• Design, test and implement ALM Model enhancements in conjunction with Liquidity Risk team; maintain model's efficiency and accuracy through continuous improvement and application of best practices.
• Develop clear and concise written analysis of all modeling results for business units, ALCO, Executive Committee and other management committees as directed.
• Documenting all work processes and models used for Financial Risk purposes
• Effectively support the annual regulatory examination cycle by assimilating requested reports and analysis.
• Proactively plan and manage timelines and workflow contingencies.
• Team management: The incumbent will manage the Senior ALM Analyst. The team would grow in the future based on business needs.

Incumbent is expected to demonstrate each of the following VyStar Excellence behaviors in performing the duties and responsibilities of their job.

Focus Focus your full attention by carefully listening to and observing your client or member.

Connect Consistently be friendly and approachable. Demonstrate you care.

Understand Listen empathetically and ask questions. (70%/30%)

Counsel Recommend solutions based on your client's or member's needs and objectives.

Advance Ensure that member's expectations were exceeded.

Verify necessary follow-up action.

JOB KNOWLEDGE, SKILLS & ABILITIES

Required:

• Strong knowledge of ALM software such as ZMdesk or QRM or FiServ (Sendero).
• Strong programming knowledge of developing statistical models in Python and/or R, relational databases and SQL.
• Experience with econometric modeling and/or Moody's Portfolio Analyzer models (APA, MPA) a plus.
• Knowledge of bank / Basel III liquidity risk and capital management practices, including DFAST/CCAR stress-testing processes and practices.
• Industry understanding - a working knowledge of the CU/banking industry as it pertains to balance sheet forecasting, profitability, core product lines, fixed income, and asset liability management.
• Understanding of credit union/bank financials and general ledger systems.
• Knowledge of YieldBook and Bloomberg, with a solid understanding of Fixed Income markets.
• Ability to establish and maintain effective working relationships across all levels in the organization is a must.
• Ability to present complex analyses to internal customers with different technical backgrounds.

EDUCATION & EXPERIENCE

Required:

• Bachelor's degree in Finance, Accounting, Economics, Engineering, Statistics, Mathematics or related area.
• 2+ years of experience within a financial institution with a minimum of $5 billion in Assets.
• 3+ years supervising/managing staff within a financial services organization.
• 6+ years of experience in asset/liability management (ALM), treasury, and/or stress testing functions within a financial institution.
• 8+ years of related experience.

Preferred:

• Chartered Financial Analyst (CFA) or Financial Risk Management (FRM) designation.
• Masters of Business Administration (MBA) or Master 's Degree in a Quantitative or finance discipline.
• Experience with Mergers & Acquisitions within a bank/credit union setting.
• Experience with Information Technology projects, Data Analytics and Accounting

DISCLAIMERS AND WORK ENVIRONMENT

Nothing in this position description is an implied contract for employment. The position description is intended to be an accurate account of the essential functions. The functions are not all encompassing and are subject to change at any time by management.

The work environment characteristics described are representative of those that an employee encounters while performing the essential functions of this job. Reasonable accommodations may be made to enable individuals with disabilities to perform the essential functions.

As required or requested, may exert up to 20 pounds of force occasionally and/or a negligible amount of force constantly to lift, carry, push, pull or otherwise move objects.