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ALM Modelling Lead

Selby Jennings
Chicago, Illinois, United States
Closing date
Feb 29, 2024

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Job Role
Business Analyst
Contract Type
Full Time
Working with a regional bank managing over $100 billion in AUM, witnessing rapid expansion across the Treasury, Liquidity, and ALM teams. These teams play a crucial role in forecasting the balance sheet under various interest rate scenarios, identifying potential risks, and suggesting actions to mitigate interest rate risk (IRR). At present, the bank is actively seeking an ALM Modelling Lead to join the Treasury team. This role involves developing mathematical models that translate real-world dynamics into forecasts for account acquisition, loan prepayments, deposit rates, and balance retention.

  • Lead and own the forecasting methodology for key areas of the bank's balance sheet
  • Manage a team of modeling analysts, focusing on specific balance sheet portfolios
  • Collaborate closely with product owners to understand business dynamics
  • Develop models and assumptions translating real-world dynamics into mathematical representations
  • Balance tradeoffs between model accuracy and complexity aligned with strategic objectives
  • Ensure implementation of models in the cashflow forecasting engine
  • Monitor model performance, identify root causes, and recommend/implement fixes
  • Stay aware of changes in product management strategy and align models with objectives

  • 3-6 years of experience working in the treasury, ALM or modeling
  • Hands on knowledge of python, SAS, VBA, Excel, or SQL is a must.
  • Experience in model governance activity per risk management frameworks

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