Director, Asset Liability Management and Valuation
Company: PenFed Credit Union
Location: Mc Lean
Posted on: May 6, 2021
Are you looking to take your career from good to great? As an
employee of PenFed, every day is an opportunity to thrive, and be
part of a team working to ensure our organization is providing
world class service to our members, employees, and our communities.
We exist to help our members realize their full potential, educate
and encourage their dreams, and make every effort to follow our
mission and help our members "do better." Joining PenFed is more
than being an employee; it's about being a part of the PenFed
family. PenFed is hiring a Director, Asset Liability Management and
Valuation at our Tysons, Virginia location. The primary purpose of
this job is to lead the development and quantification of a robust
interest rate and liquidity risk measurement process. This position
will analyze balance sheet and earnings risks/opportunities and
develop appropriate risk mitigation and/or optimization strategies
that support earnings, hedging, and capital adequacy efforts in
accordance within PenFed's risk appetite and policy limits.
Responsibilities Reasonable accommodations may be made to enable
individuals with disabilities to perform the essential functions.
This is not intended to be an all-inclusive list of job duties and
the position will perform other duties as assigned.
- Responsible for the overall framework, process, and
methodologies to identify and measure interest rate risk (IRR) and
liquidity risk using the Quantitative Risk Management (QRM)
- Responsible for the calculation of interest rate risk measures
including duration, convexity, vega and other risk measures
including the generation of shock scenarios for EVE, NII, and
liquidity stress testing.
- Lead the quantification of the credit unions' balance sheet
hedging, funding plan, and derivative strategies that manage
interest rate risk, liquidity risk, basis risk, and NII sensitivity
in accordance within PenFed's risk appetite and policy limits.
- Lead the development and analysis of portfolio what-if asset
mix/concentration optimization strategies and risk-based capital
- Lead the mark-to-market valuation process for the credit
unions' asset, liability, and derivative positions, including the
valuation of the mortgage servicing rights asset, originate-to-sell
loan pools, securities holdings, non-maturity deposits, and other
permissible asset investments.
- Lead the process for the development and ongoing validation of
key risk modeling methodologies and assumptions that support a
robust IRR and liquidity modeling process.
- Incumbent will present analysis and lead discussions of
interest rate risk, liquidity risk, and earnings and tactical
balance sheet management strategies with business units, senior
management, and ALCO.
- Coordinate with the forecasting and quantitative modeling teams
to incorporate behavioral pattern knowledge into the modeling of
uncertain cash flows such as mortgage prepayments, draws on credit
card outstanding lines, and indeterminate maturity deposits into
interest rate risk and liquidity risk modeling. Supports the
funding & derivatives team in projecting hedged asset
- Evaluate the fair market value and interest rate risk impact of
potential mergers and other business acquisitions on the
asset/liability position of the credit union including non-maturity
deposits valuation and loan valuation in the consumer, mortgage,
and commercial sectors.
- Maintains an in-depth knowledge of securities markets and fixed
income instruments including mortgage-related products, interest
rate derivatives, (e.g. swaps, caps, etc.), indeterminate maturity
deposits, option pricing theory, and interest rate risk measurement
concepts such as duration, convexity, vega, basis risk, etc.
- Continually improves and enhances interest rate risk and
liquidity modeling approaches and methodologies to promote
alignment with industry best practices; remain abreast of
regulatory developments impacting PenFed's risk and return
- Provides senior leadership to the department by attracting,
developing, and retaining key talent
- Acts as liaison with model development and validation teams,
internal and external auditors and NCUA examiners. Qualifications
Equivalent combination of education and experience is considered.
- Advanced degree in a quantitative subject such as Finance,
Economics, Mathematics, or Statistics; or a combination of
education and experience that provides the necessary skills and
knowledge to satisfactorily perform the job; MBA/CFA professional
- Minimum of twelve (12) years' experience in the areas of market
risk, capital markets, and balance sheet management in a financial
- Minimum of five (5) years' management experience
- QRM Balance Sheet Management Framework, QRM Mortgage Servicing
Rights System, or QRM Mortgage Banking System experience is
- Excellent understanding of the regulatory capital stress
testing and/or the Federal Reserve's CCAR and DFAST testing
process, fixed income capital markets instruments and derivatives,
and relevant generally accepted accounting principles (GAAP).
- Ability to manage multiple projects simultaneously and
implement rapid changes in project direction.
- Ability to condense highly technical subject matter into clear,
effective presentation-quality communications to senior
management.Supervisory ResponsibilityThis position will supervise
employees. Licenses and Certifications
- CFA professional certification is preferred.Work
EnvironmentWhile performing the duties of this job, the employee is
regularly exposed to an indoor office setting with moderate
noise.*Most roles require working in an office setting with
moderate noise and the ability to lift 25 pounds.* TravelAbility to
travel to various worksites and be on-call is required. Special
Message Regarding COVID 19PenFed is continuing to hire and train
exceptional individuals to help us serve our 2 million members both
here and around the world. In light of the current situation with
novel coronavirus (COVID-19), we have modified our hiring,
onboarding, training, and deployment protocols in order to comply
with current local and state guidance around social distancing.
About Us Established in 1935, PenFed today is one of the country's
strongest and most stable financial institutions with over 2
million members and over $26 billion in assets. We serve members in
all 50 states and the District of Columbia, as well as in Guam,
Puerto Rico and Okinawa. We are federally insured by NCUA and we
are an Equal Housing Lender. We are available to members worldwide,
via the web, seven days a week, twenty-four hours a day. We provide
our employees with a lucrative benefits package including robust
medical, dental and vision plan options, plenty of paid time off,
401k with employer match, on-site fitness facilities at our larger
locations, and more. Equal Employment OpportunityPenFed management
will maintain and observe personnel policies which will not
discriminate or permit harassment or retaliation against a person
because of race, color, creed, age, sex, gender, gender identity,
gender expression, religion, national origin, ancestry, marital
status, military or veteran status or obligation, the presence of a
physical and/or mental disability or medical condition, genetic
information, sexual orientation, and all statuses protected by
applicable state or local law in all recruiting, hiring, training,
compensation, overtime, position classifications, work assignments,
facilities, promotions, transfers, employee treatment, and in all
other terms and conditions of employment. PenFed will also prohibit
retaliation against individuals for raising a complaint of
discrimination or harassment or participating in an investigation
of same. PenFed will also reasonably accommodate qualified
individuals with a disability so that they can apply for a job or
perform the essential functions of a job unless doing so causes a
direct threat to these individuals or others in the workplace and
the threat cannot be eliminated by reasonable accommodation or if
the accommodation creates an undue hardship to PenFed. Contact
human resources (HR) with any questions or requests for
accommodation at .
Keywords: PenFed Credit Union, Washington DC , Director, Asset Liability Management and Valuation, Executive , Mc Lean, DC
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