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Corporate Treasury Middle Office - Interest Rate Risk Analytics & Reporting - Vice President

Req #: 170075381
Location: New York, NY, US
Job Category: Accounting/Finance/Audit/Risk
Job Description:
The Corporate Treasury Middle Office (CTMO) is responsible for the key functions of global Liquidity Analytics & Reporting, Interest Rate Risk Analytics & Reporting and Funds Transfer Pricing. The team produces Liquidity and Interest Rate Risk analytics and reporting that is provided both externally & internally, including to senior management, the board and regulators. The team oversees the execution of the control model and operating framework supporting the data flow from the various line of business (LOBs) into the Liquidity and Structural Interest Rate Risk Systems - Liquidity Risk Infrastructure (LRI) and Asset Liability Management on Demand (Almond). The analytics generated by the team drive various regulatory and internal risk management measures for Liquidity and Structural interest rate risk.

In partnership with the various LOBs, Corporate Treasury and Risk Oversight, the team executes key controls, analytics and metrics to produce and review Liquidity and Interest Rate Risk at the Legal Entity, Currency, LOB, and Product levels.

This position is focused on but not limited to Interest Rate Risk Analysis, Data analytics and reporting that supports the team's responsibilities detailed above. Interest rate risk analysis and reporting focuses on:
  • Ongoing analysis of the firm’s structural interest rate risk position, developing reporting and analytics to assess impact of business decisions on firm’s interest rate risk exposure
  • Partner with key stakeholders including Interest Rate Risk Oversight, Strategy teams and senior management by running regular analytics and reporting to calculate, monitor and track IRR measures, incorporating regulatory and internal rate scenarios
  • Monitor data flows on an ongoing basis between Almond through to final reports and serve as the control point for significant variances and impacts in the IRR reporting
The position offers a good opportunity to be the focal point for all firmwide IRR analytics and good visibility into all the LOBs across the firm. It provides a unique opportunity to understand firmwide initiatives as well as macro industry changes in the IRR space. There is extensive interaction and communication with colleagues within the various LOBs, Treasury, Risk, senior management and other corporate functions, including Corporate/Capital Planning & Analysis and Corporate Finance Analytics. There is also significant visibility to senior management, as the team's analyses and reports are regularly presented to senior management and the Board of Directors and external regulators. The team also frequently develops ad-hoc analyses for specific regulatory initiatives and senior management requests for data and analytics.

  • Develop an in-depth understanding of IRR analytics and measures such as: Earnings-at-Risk, Basis Point Value, Duration of Equity, Economic Value of Equity, as well as internal IRR scenarios and their impact on the firm and underlying legal entities globally
  • Interact with the LOBs and other Corporate areas in order to obtain, understand, analyze and draw conclusions with respect to IRR measures and corresponding firmwide impacts
  • Manage and enhance IRR models and data sourcing to incorporate updated risk modeling
  • Lead and participate in ad-hoc high impact initiatives and projects as needed for senior management and regulatory initiatives

  • Strong analytical skills, including advanced financial analytics, financial modeling and data analysis skills
  • Expertise in analyzing large data sets to assess financial trends, assess data quality, run data queries and diagnostics and ability to synthesize and visualize data
  • Strong knowledge of Asset - Liability Management, Interest Rate Risk, Funds Transfer Pricing and Quantitative Risk Management software (QRM)
  • 4 - 5 years’ experience in ALM, risk analytics or financial risk management
  • Strong computer skills, particularly Excel, Access, macros, pivot tables etc
  • CFA / FRM credentials or pursuing CFA / FRM designation a plus
  • Experience in Treasury / investment operations or other Treasury / Funding related areas a plus
  • Strong attention to detail
  • SQL knowledge to perform technical/data analysis a plus
  • Creative thinking and problem solving skills
  • Ability to work with various stakeholders and lead high impact initiatives independently
  • • Strong verbal and written communication skills, confidence and ability to present information in a clear and concise manner to senior management
  • • Ability to work under pressure, prioritize multiple tasks, and execute effectively
  • • Focused work ethic, good business sense, and demonstrated initiative
  • • Strong interpersonal skills and team spirit. Experience leading junior analysts a plus

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