The Lead Treasury Analyst reports to the Asset Liability Manager within the Corporate Treasury. This role will focus on providing analytical support and reporting expertise primarily to Treasury’s Asset Liability, Portfolio Management, and Stress Testing groups.
Oversight, development, and day-to-day maintenance of the Empyrean ALM model along with related data, setups, assumptions, reporting, documentation, and governance. Assist the Asset Liability Manager and Treasurer in developing a complete and accurate view of the Bank’s interest rate risk position. Contribute to the ALCO, FTP, and Stress Testing processes.
In the Asset Liability support role, the Treasury Analyst will:
•Lead the implementation of key ALM model improvements, including development and parallel testing of new setups and assumptions
•Support and/or take lead of monthly ALM model production runs
•Conduct highly technical analysis of the corporation's interest rate risk exposure, such as NII sensitivity, EVE sensitivity, data analysis, etc.
•Develop and use mathematical models to analyze loan and non-maturity deposit behavior, and to aid in the analysis of interest rate risk and the forecast for net interest margin
•Proactively partner with line and staff units to increase shareholder value by identifying net income opportunities and by developing financial methodologies and tools for use in loan and deposit pricing, budgeting and planning
•Communicate complex financial issues in a clear and concise manner to senior managers
•Prepare and analyze NIM and EPS forecasts and net economic value sensitivity calculations which are used to help set the strategic direction of the corporation
•Reconcile actual and forecasted results to understand the causes of any variances and to improve future forecasts
•Create, maintain and analyze historical databases of factors used to create modeling assumptions. Maintain regulatory compliance with all interest rate risk management directives
•Assist in the development and implementation of a robust FTP framework to provide a more complete view of IRR, and to support the budgeting and forecasting and client profitability functions.
•Assist the Asset Liability Manager and Treasurer in developing balance sheet strategies to enhance earnings while managing risk, liquidity and capital. These strategies will be articulated in reports which are discussed during monthly Asset Liability Committee meetings.
Other support duties include:
•Assisting the Asset Liability Manager in the preparation of monthly ALM analysis reports which includes data gathering, validation and analysis
•Reconciliation of the ALM model balance sheet to month-end general ledger and analysis of any data exceptions
•Play a key role in the annual stress testing process by developing critical components using the ALM model
Skills and Requirements:• Bachelor’s Degree in Business, Finance, Statistics or Mathematics - MBA, CPA, or CFA preferred
• 3 – 5 years of relevant working experience in an Asset Liability Analyst role, preferably with a financial institution
• Familiarity with mortgage prepayment model inputs and deposit decay and elasticity methods
• Working knowledge of SQL and Empyrean or other ALM models (QRM, Bancware) preferred
• Working knowledge of Microsoft Office Suite of products
• Demonstrated knowledge of financial valuation methods and basic accounting principles is required
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