Treasury & Chief Investment Office - Asset & Liability Management - Analytics Associate
DESCRIPTION/RESPONSIBILITIES:
Treasury/CIO – Associate – Asset-Liability Management (ALM) Analytics and Interest Rate Risk
The Treasury/Chief Investment Office (T/CIO) is responsible for firmwide asset and liability management, including:
• Aggregating and managing the interest rate risk of the firm’s four main lines of business (LOBs), primarily through a global investment securities portfolio
• Managing the firm’s funding and liabilities through long-term debt and other funding sources, and managing short term cash deployment activities
• Aggregating and managing the firm’s liquidity risk, including deploying the firm's excess liquidity. Also responsible for compliance with both internal and regulatory liquidity requirements
• Aggregating and managing the firm’s structural foreign exchange risk
• Risk managing Mortgage Servicing Rights (MSR) on behalf of the Mortgage Bank
• Managing the company-sponsored retirement plan
• Managing the end to end risk-weighted asset (RWA) and capital measurement processes across the firm, ensuring efficient and appropriate management of our capital, and managing the Firmwide Capital Stress Testing process
Sitting at the very center of the firm, T/CIO directly influences the composition of the firm’s balance sheet as well the activities of its four main Lines of Business (LOBs): Asset & Wealth Management (AWM), Commercial Banking (CB), Corporate & Investment Bank (CIB) and Consumer & Community Banking (CCB)
Role Description
The Associate position is part of the ALM Analytics team within the ALM Research and Strategy Group. The Associate will focus on all aspects of asset/liability management including: conducting analyses around business strategy and financial products leveraging large data sets, driving improvements in business as usual processes, developing analytics to assist senior management make strategic and tactical balance sheet decisions, communicating analytics to management and partners across the firm. The ideal candidate should have knowledge of banking products and interest rate risk concepts as well as excellent time management, organization skills and attention to detail.
Responsibilities Include:
• Advance risk analytics at the product, line-of-business and firm level including topics:
+ Duration of Equity, Future Duration of Equity, advanced scenario analysis and development, Earnings-at-Risk
• Develop new and add to existing Python-based analytics for forward interest rate risk
• Become a product level expert (subject matter expert) with detailed understanding of all aspects of interest rate risk (IRR) for specific product categories (e.g. investment securities, wholesale or retail deposits, mortgage loans, auto loans, credit card loans, wholesale funding, ftp), including underlying source data analytics/analysis, product attributes and assumptions, valuation models, product balance forecasts
• Investigate and analyze product, LOB, and firm level interest rate risk metrics
• Work on “special projects” covering a wide range of topics
• Create and present IRR analysis and presentations to senior business partners and risk oversight
• Use tools and knowledge to assist business lines in assessing and hedging IRR with FTP
• Partner with IRR reporting/production team, model risk, internal audit, Risk Oversight, and Oversight & Control groups
Qualifications
The candidate must be a self-starter who is able to work in a fast paced, results driven environment.
• 3+ years of of finance/banking industry experience
• CFA, MBA, or Master’s degree in Finance, Risk Management, Accounting, Engineering, Mathematics, Data Science/Engineer or related discipline with strong interest in finance
• Strong analytical and quantitative problem-solving skills
• Programming skills (Python or similar)
• Knowledge of capital markets instruments, banking book products and interest rate risk concepts
• Comfortable working with large quantities of data
• Strong, clear and concise written and verbal communication skills with ability to prepare executive level presentations
• An organized self-starter and quick learner with the ability to work under pressure, prioritize multiple tasks, and bring tasks to complete closure
• Focused work ethic, detail oriented, and demonstrate initiative
• Finance, Risk or Asset-Liability Management experience a plus
• Strong Office skills, particularly in Excel and PowerPoint
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