Director Asset Liability Management Risk Analytics (onsite / hybrid)

Director Asset Liability Management Risk Analytics

As a key member of the Asset Liability Management team, you will be part of AgriBank's mission to support the people who feed the world. The Director of ALM Risk Analytics directs the work of the Asset Liability management (ALM) Risk Analytics team. The incumbent oversees AgriBank's implementation of the QRM (Quantitative Risk Management) model used for measuring the bank's interest rate risk (IRR) position and forecasting net interest income. The incumbent is responsible for directing the work of the monthly QRM process in addition to QRM Modeling and analytics. This includes recommending, testing, and implementing model changes needed to incorporate industry best practices as well as to meet the needs of a dynamic, option-laden balance sheet.

In addition to the core monthly production responsibilities, the Director is also tasked with creating a dynamic culture of change and evolution (e.g., analytics, research, reporting, pricing, funding, hedging). The Director should also be able to pivot between an AgriBank level view, a District level view and periodically an Association level view.

The role is responsible for the reporting, forecasting and risk results of AgriBank's balance sheet. The Director oversees the process, reporting, and analysis of the monthly Treasury risk reporting package which includes attribution analysis and explanation of risk changes and drivers. The role coordinates with Treasury ALM Strategy to effectuate approved strategies and works with multiple partners across AgriBank and Associations on risk management endeavors.

The incumbent will work closely with the Asset Liability Management Strategy and Funding team to ensure that desired balance sheet actions, strategies, and assumptions are accurately modeled, and that interest rate risk measures stay within Treasury guidelines and ALCO limits. The incumbent is responsible for managing a variety of projects involving staff from the ALM, CML, and Pricing team as well as other departments across AgriBank.

Job Functions :

• Directs the QRM implementation and monthly reporting process :
• Ensures that all sources of interest rate risk are identified, properly measured, and communicated to management
• Ensures that the model is kept as close as practicable to industry best practices by assessing industry trends and recommending and scheduling model changes and supervising their implementation
• Oversees the development, implementation, and ongoing accuracy of the prepayment functions used for measuring IRR. Leads related ad hoc analysis for prepayment and other behavioral assumptions, coordinating with ERM as appropriate
• Owns the implementation in QRM of other important model assumptions or components such as debt replenishment rules, loan rate regression models, and yield curve models
• Co-leads (with Enterprise Risk Management-ERM) the monthly QRM model governance process, including communicating, testing, and implementation of model changes
• Manages the relationship with SunStream (which is in charge of the QRM physical environment) : Supervises database creation and backups, model version updates, and assesses performance (processing speed)
• Evaluates financial characteristics of new transactions or business lines, recommends how best to model them, and implements model changes
• Directs model documentation, from inputs to processing to reporting
• Acts as key contact for auditors and examiners regarding the model's implementation, assumptions, and results

Directs Rate Risk Analysis Cycle, Special Planning Runs, Valuation :

Projects and Data Strategy :

Staff Management :

Education and Experience :

Knowledge :

Skills :

Physical Requirements :

The AgriBank Advantage :

You are the key differentiator in the marketplace and ultimately the most important factor in helping us fulfill our mission to support those who feed the world. We are committed to providing you with a competitive compensation and benefits package your total rewards for making significant contributions to our business and making a difference on behalf of those we serve.

The typical base range for this role is between $149,000-$237,000. Compensation may vary based on individual job-related knowledge, skills, expertise, and experience. The position is eligible for a discretionary annual incentive program driven by organization and individual performance.

Benefits :

AgriBank benefits provide safety, security, and peace of mind for you and your family. Through comprehensive Total Rewards, access to financial tools and support, and personal services, our benefits demonstrate that employees' health and financial well-being are of primary importance. Wherever you are on life's continuum or what life transition you experience, our benefits support your health care needs and guide you along the path to retirement.

Collaboration and Staying Connected :

Work and Life :

Growth and Development :

Health, Wellness and Investment / Retirement :