FUNCTION: Responsible for a range of activities in Asset/Liability Management within Treasury to assist in building analytics to clearly portray the net interest income, liquidity, capital, and market value profile of the Bank. The incumbent will provide key support in modeling the Bank’s balance sheet performance, discerning trends in positions, and developing the financial metrics to drive balance sheet decisions.
- Provide analytical support in building the monthly asset/liability model to accurately forecast the Bank’s net interest income and market value profile.
- Employ data skills to ensure the timely, accurate, and efficient flow of information into the asset/liability model and for the creation of additional financial metrics to manage the Bank’s position.
- Assist in constructing the Asset/Liability Group’s analytical and reporting capabilities to provide the basis for active, profitable management of the balance sheet.
- Reconcile actual and forecasted results to understand the causes of any variances and to improve future forecasts.
- Create and maintain historical databases (spreads, volumes, prepayments etc.) used to create modeling assumptions.
- As needed, work with line and staff units to create the monthly ALCO package that is widely used throughout the Bank as a key source of information regarding balance sheet management.
- Consistently work to improve the Bank’s capabilities to analyze the earnings and market value risk and return profile, and thus improve the performance of the Treasury and the Bank.