Asset & Liab Manager

Citizens Bank - Boston, MA

Full-time - Mid Level

Remote - Boston, MA

Credit Intermediation and Related Activities

About the position

Citizens Financial Group, Inc. (CFG) is seeking an experienced Asset and Liability Manager to join our team in Boston, MA. This pivotal role involves performing detailed attribution and decomposition of portfolio impacts on CFG's Interest Rate Risk position. The successful candidate will establish and maintain strong working relationships with Line of Business (LOB) partners to discuss and analyze monthly changes in pricing, volume, and prepayment assumptions. The Asset and Liability Manager will enhance and develop reporting tools that effectively communicate Interest Rate Risk drivers to upper management, ensuring that all stakeholders are informed and engaged in the risk management process. Utilizing the ALM balance sheet model of Quantitative Risk Management (QRM), the manager will run monthly yield curve, Economic Value of Equity (EVE), and Net Interest Income (NII) analyses for assigned portfolios. This role also includes facilitating the build-out of new banking products and improving modeling approaches within QRM. The Asset and Liability Manager will assist in audits, governance support, and internal risk management reviews, ensuring compliance with regulatory standards and internal policies. A key responsibility of this position is executing assumption sensitivity and back-testing to identify the main drivers of changes in metrics. The manager will also be responsible for the Investment Portfolio Amortization and Accretion forecasts, providing critical insights that inform strategic decision-making within the organization.

Responsibilities

• Perform attribution and decomposition of portfolio impacts on CFG's Interest Rate Risk position.
• Establish and maintain working relationships with Line of Business (LOB) partners to discuss monthly changes in pricing, volume, and prepayment assumptions.
• Enhance and develop reporting tools used to communicate Interest Rate Risk drivers to upper management.
• Utilize the ALM balance sheet model of Quantitative Risk Management (QRM) to run monthly yield curve, EVE, and NII for assigned portfolios.
• Facilitate build out of new banking products and improved modeling approaches within QRM.
• Assist in audits, governance support, and internal risk management reviews.
• Execute assumption sensitivity and back-testing to identify the main drivers of changes in metrics.
• Responsible for the Investment Portfolio Amortization and Accretion forecasts.

Requirements

• Bachelor's degree in Business, Finance, or a related field.
• Five (5) years of progressive experience in the role or in a related position, or an MBA with three (3) years of experience.
• Experience in implementation and ongoing management of balance sheet management software, including monthly and quarterly production, model calibration, validation, and documentation.
• Conducting statistical analysis of decomposition of portfolio impacts on Interest Rate Risk positions.
• Identifying and retrieving data from database systems, including SQL Management Studio.
• Utilizing GL multidimensional database systems to assist with the FP&A process.
• Providing monthly market forecast curves.
• Building reports and automating files using advanced Excel and VBA macros.
• Utilizing investment portfolio management skills, including cash flow trend analysis, pricing, volume, and prepayment assumptions.
• Utilizing derivative management skills, including the Interest Rate Swap Program.
• Utilizing Bloomberg Terminal to retrieve data for financial projects.
• Developing and maintaining stress testing models using ALM software.
• Possession of Chartered Financial Analyst (CFA) certificate.