Director, Interest Rate Risk Management

American Savings Bank
160000.00 To 264000.00 (USD) Annually
United States, Hawaii, Honolulu
Oct 30, 2024
Primary Purpose of Job Reporting to the Treasurer, the position is responsible for managing the Bank's interest rate risk (IRR) management function, along with the use of the Empyrean ALM Model. The successful candidate is responsible for understanding the Bank's interest rate risk position, including net interest income (NII) sensitivities and economic value of (EVE) sensitivities, and recommends strategies to improve the profitability, liquidity, capital, and interest rate risk position. The position requires a deep understanding of the bank's balance sheet, products, data, behavioral models, analytics, and reporting. The successful candidate will also have experience in assessing the market for potential risks and opportunities to improve the bank's balance sheet. Responsible for the development of net interest income forecast for annual business plan, maintaining an ongoing forecast of net interest income compared to business plan expectations, ability to explain performance drivers against the business plan and recommend strategies to improve overall performance. Major Job Accountabilities Oversees the development, production and output of IRR analytics within the Empyrean ALM model. Ensures key risk measurements (NII sensitivity, EVE sensitivity) remain in compliance with the Bank's Interest Rate Risk Management policy. Responsible for enhancing quantitative models to measure balance sheet behaviors, net interest income performance, and rate sensitivities. Collaborates with the Manager of Capital Markets to set investment duration targets to optimize profitability and interest rate risk. Responsible for development of the Bank's Interest Rate Risk Contingency Plan. Recommends strategies to change the Bank's interest rate risk position to optimize performance. Oversees the development of reports communicating the IRR position to the Asset/Liability Committee (ALCO). Performs "what-if" analysis and balance sheet simulations to support strategy development. Ensures IRR model maintains appropriate model documentation and changes of controls in compliance with all internal controls and policies. Responsible for ensuring models receives a "Satisfactory" rating by 3^rd party model reviewer. Responsible for development of model back-testing process, critical model assumption stress testing, upgrades, conversions, and enhancements. Recommends changes to the Asset and Liability Management Policy and Interest Rate Risk Policy. Ensures these policies are reviewed and approved annually. Responsible for leveraging the IRR model to support liquidity and capital stress testing, CECL and other Enterprise Risk Management Activities Performs ad hoc financial analysis and special projects as directed by the Treasurer. Analyzes and benchmarks annual budget and strategic plan with Financial Planning & Analysis against local and national peer group. Active participant in Deposit and Loan Pricing Committees. Understanding of local market pricing and support recommendations of deposit and loan pricing changes. Participates in the development of new financial products offered by the bank. Makes recommendations to the Treasurer to influence the loan and deposit volumes to optimize profitability, liquidity, capital, and interest rate risk. Maintains an understanding of funds transfer pricing methodology in conjunction with FP&A. Makes recommendations to improve overall product profitability. Experience Required Minimum of 10+ years: Work experience in accounting, treasury or related area performing quantitative financial analysis Minimum 7 years: Experience in an IRR or ALM function with experience with Empyrean, QRM, Bancware, or other ALM software Minimum 2 years: Years of supervisory experience Required Skills or Training Knowledge of principles, theories, and concepts of finance in interest rate risk and asset/liability management, valuation of financial instruments, financial forecasting, and other financial analysis techniques Advanced knowledge of valuation and interest rate risk (duration, convexity, stochastics etc.). Advanced knowledge balance sheet products and behavioral models, especially deposits and mortgage products. Knowledge of regulatory requirements and guidance on interest rate risk management. Advanced Proficiency in Microsoft Excel, Access, PowerPoint, and Outlook. Knowledge of Bloomberg Professional. Knowledge of linked behavioral models such as Adco, Moody's, Intex etc. Excellent analytical skills and attention to detail required to ensure accuracy and quality. Excellent written, verbal, interpersonal, and presentation skills. Ability to prioritize and manage multiple priorities to ensure critical deadlines are met. VBA, SQL, Python, macros or other coding experience a plus. Experience with R, Stata, or other statistical software a plus. Knowledge of SEC / FDIC financial reporting requirements strongly desired. Ability to work across lines of businesses and have the ability to influence through the usage of advance logic and reasoning to solve complex problems. Professional Certifications, Licenses, And/or Registration Requirements Master's Degree or Professional Certification (CFA, CPA) desired EOE, including disability/veterans At American Savings Bank, we welcome and support all individuals and celebrate the diversity of our team members, customers and community. We are committed to ensuring that our online application process is accessible and provides an equal employment opportunity to all job seekers. If you need assistance searching for a job or submitting an application, please contact us by calling 808-538-2000 and a member of our Recruitment team will follow up with you. Mahalo for your interest in American Savings Bank!