Asset Liability Manager

Primary Purpose of Job

Reporting to the Treasurer, the position is responsible for managing the Bank’s interest rate risk (IRR) management team and function, along with the use of the Empyrean ALM model. The successful candidate is responsible for the measurement of the company’s interest rate risk position, including net interest income (NII) sensitivity and economic value of equity (EVE) sensitivity, and recommends strategies to manage the position within bank policies and regulatory guidelines. 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 and potential risks and opportunities to the bank’s balance sheet.

Major Job Accountabilities

• Manages the monthly production and output of IRR analytics in the Empyrean ALM software.
• Monitors key IRR risk measures (NII sensitivity, EVE sensitivity) and ensures risk remains within Bank and regulatory limits.
• Develops, administers, monitors, and enhances quantitative models to measure balance sheet behaviors, net interest income performance, and interest rate sensitives.
• Prepares and presents presentations on the IRR position to Asset/Liability Committee (ALCO).
• Serves as ALCO Secretary, coordinating agenda, consolidating materials, and taking meeting minutes.
• Performs “what-if” analysis and balance sheet simulations to support strategy development.
• Manages model documentation and compliance with all internal controls and policies.
• Manages model back testing and assumption sensitivity analysis.
• Oversees model validations, upgrades, or conversions.
• Manages relationship with Technology Platform Management.
• Participates in policy reviews and updates (Treasury, ALCO, Board).
• Drives analysis and understanding of product behaviors in conjunction with Business Lines.
• Analyzes and benchmarks annual budget and strategic plans with Financial Planning & Analysis (FP&A).
• Provides guidance on funds transfer pricing (FTP) methodologies in conjunction with FP&A.
• Leverages ALM modeling for stress testing, CECL, and other Enterprise Risk Management activities.
• Creates financial reporting and provides analysis for quarterly external reporting (10Q, 10K, earnings call).

Experience Required

• 7 years of work experience in accounting, treasury or related area performing quantitative financial analysis 
• 5 years of experience in an IRR or ALM function with experience with Empyrean, QRM, Bancware, or other ALM software
• Supervisory or management experience preferred

Required Skills or Training

• 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 communication 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.

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!