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Director, Asset Liability Management and Valuation

Company: PenFed Credit Union
Location: Mc Lean
Posted on: May 6, 2021

Job Description:

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) system
  • 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 considerations.
  • 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 balances.
  • 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 profile.
  • 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 certification required.
    • Minimum of twelve (12) years' experience in the areas of market risk, capital markets, and balance sheet management in a financial institution.
    • Minimum of five (5) years' management experience
    • QRM Balance Sheet Management Framework, QRM Mortgage Servicing Rights System, or QRM Mortgage Banking System experience is preferred.
    • 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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