Director, Asset / Liability Management & Valuation

PenFed Credit Union - West McLean, VA

Full-time - Senior

West McLean, VA

10,001+ employees

Credit Intermediation and Related Activities

About the position

At PenFed, we are committed to empowering our members to achieve their financial goals, and we are currently seeking a Director of Asset/Liability Management & Valuation to join our team in Tysons, Virginia. This hybrid position plays a crucial role in leading the development and quantification of a robust interest rate measurement process. The primary responsibility of this role is to analyze balance sheet and earnings risks and opportunities, while developing appropriate risk mitigation and optimization strategies that align with PenFed's risk appetite and policy limits. The Director will be responsible for establishing the overall framework, processes, and methodologies to identify and measure interest rate risk (IRR) using the Quantitative Risk Management (QRM) system. This includes calculating various interest rate risk measures such as duration and convexity, and generating shock scenarios for Economic Value of Equity (EVE), Net Interest Income (NII), and Key Rate Duration (KRD). Additionally, the Director will lead the mark-to-market valuation process for the credit union's asset, liability, and derivative positions, which encompasses the valuation of mortgage and consumer loans, non-maturity deposits, and investments. In this role, the Director will manage direct reports and guide them in incorporating behavioral pattern knowledge into the modeling of uncertain cash flows, such as mortgage prepayments and indeterminate maturity deposits. The Director will also lead the ALM Working Group, collaborating with cross-functional teams to develop and quantify balance sheet hedging and derivative strategies that effectively manage EVE exposure and NII sensitivity within PenFed's risk appetite. Furthermore, the Director will foster a deep understanding of balance sheet modeling assumptions and approaches, ensuring transparency and facilitating effective challenge with the second line of defense. The position requires close collaboration with the Model Risk Management (MRM) Working Group to develop and validate interest rate risk modeling methodologies and assumptions. The Director will also be responsible for presenting analyses and leading discussions on interest rate risk in the ALM Working Group and the Asset-Liability Committee (ALCO). To excel in this role, the Director must maintain an in-depth knowledge of securities markets and fixed income instruments, including mortgage-related products and interest rate derivatives, while continually improving interest rate risk modeling approaches to align with industry best practices and regulatory developments.

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

• 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 four (4) 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.

Nice-to-haves

• CFA professional certification is preferred.

Benefits

• Robust medical, dental and vision plan options
• Plenty of paid time off
• 401k with employer match
• On-site fitness facilities at larger locations
• Lucrative benefits package