Director, Asset / Liability Management & Valuation

PenFed Credit Union - McLean, VA

Full-time - Senior

McLean, VA

10,001+ employees

Credit Intermediation and Related Activities

About the position

PenFed is hiring a (Hybrid) Director, Asset / Liability Management & Valuation at our Tysons, Virginia location. The primary purpose of this job is to lead the development and quantification of a robust interest rate 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 with PenFed's risk appetite and policy limits. The Director will be responsible for the overall framework, process, and methodologies to identify and measure interest rate risk (IRR) using the Quantitative Risk Management (QRM) system. This includes the calculation of interest rate risk measures such as duration, convexity, and other risk measures, as well as generating shock scenarios for Economic Value of Equity (EVE), Net Interest Income (NII), and Key Rate Duration (KRD). In addition, the Director will lead the mark-to-market valuation process for the credit union's asset, liability, and derivative positions, including the valuation of mortgage and consumer loans, non-maturity deposits, and investments. The role involves managing direct reports in developing and incorporating behavioral pattern knowledge into the modeling of uncertain cash flows, such as mortgage prepayments and indeterminate maturity deposits into interest rate risk modeling. The Director will also lead the ALM Working Group with cross-functional participation to develop and quantify the credit union's balance sheet hedging and derivative strategies that manage EVE exposure and NII sensitivity within PenFed's risk appetite and policy limits. The position requires fostering an understanding of balance sheet modeling assumptions and approaches, liaising with the Model Risk Management (MRM) Working Group for the development and ongoing validation of interest rate risk modeling methodologies, and presenting analysis to the ALM Working Group and the Asset-Liability Committee (ALCO). The Director will maintain an in-depth knowledge of securities markets and fixed income instruments, continually improve interest rate risk modeling approaches, and provide senior leadership by attracting, developing, and retaining key talent.

Responsibilities

• Responsible for the overall framework, process, and methodologies to identify and measure interest rate risk (IRR) using the Quantitative Risk Management (QRM) system.
• Responsible for the calculation of interest rate risk measures including duration, convexity and other risk measures including the generation of shock scenarios for Economic Value of Equity (EVE), Net Interest Income (NII), and Key Rate Duration (KRD).
• Lead the mark-to-market valuation process for the credit unions' asset, liability, and derivative positions, including the valuation of mortgage and consumer loans, non-maturity deposits, and investments.
• Manage direct reports in developing and incorporating behavioral pattern knowledge into the modeling of uncertain cash flows such as mortgage prepayments and indeterminate maturity deposits into interest rate risk modeling.
• Lead the ALM Working Group with cross functional participation to develop and quantify the credit unions' balance sheet hedging and derivative strategies that manage EVE exposure and NII sensitivity within PenFed's risk appetite and policy limits.
• Foster the understanding of balance sheet modeling assumptions and approaches, such as prepayment/runoff/attrition and repricing models, with the second line of defense in order to provide transparency and facilitate effective challenge.
• Liaise with the Model Risk Management (MRM) Working Group for the development and ongoing validation of interest rate risk modeling methodologies and assumptions that support a robust IRR modeling process.
• Develop and present analysis and lead discussions of interest rate risk in ALM Working Group and the Asset-Liability Committee (ALCO).
• Maintain an in-depth knowledge of securities markets and fixed income instruments including mortgage-related products, interest rate derivatives, and interest rate risk measurement concepts.
• Continually improve and enhance interest rate risk modelling approaches and methodologies to promote alignment with industry best practices; remain abreast of regulatory developments impacting PenFed's risk and return profile.
• Provide senior leadership to the department by attracting, developing, and retaining key talent.
• Act as liaison with the second line of defense, MRM team, internal and external auditors and NCUA examiners.

Requirements

• 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 four (4) years' management experience.
• 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.

Nice-to-haves

• QRM Balance Sheet Management Framework, QRM Mortgage Servicing Rights System, or QRM Mortgage Banking System experience is preferred.
• CFA professional certification is preferred.

Benefits

• 401(k) matching
• Dental insurance
• Health insurance
• Paid time off
• Vision insurance