Director-Asset Liability Management (Life)

Admin — Thu, 24 Jul 2008 15:17:51 GMT

Position: Director-Asset Liability Management

Company: Insurance Organization

Location: New Jersey

Job ID: 14777

RESPONSIBILITIES:

- Perform net income or net interest income (NII), net present value (NPV)/market value forecast analysis utilizing advanced asset liability modeling system and communicate simulation results to the ALCO committee.
- Develop and enhance monthly forecast of NII and NI
- Explain changes in NII and NPV sensitivity and recommend appropriate mitigating and or risk/return enhancing tactics to ALCO committee and Board of Directors meetings.
- Conduct variance analysis (e.g. back testing) in conjunction with Morristown partners to improve accuracy of the NII & NPV forecast.
- Understand all model assumptions in ALM system and review, investigate, identify, document, and correct errors and inconsistencies in processes for risk reporting purposes.
- Monitor risk exposures against risk limits.
- Coordinate and integrate MSR reports on risk to the servicing portfolio
- Responsible for the analysis of model results due to changes in balance sheet composition, interest rate environment fluctuations, or other ad hoc factors.
- Perform statistical regression analysis on liquid deposit base to determine appropriate interest rate sensitivity and repricing assumptions.
- Prepare tactical liquidity scenarios based on model output and develop contingency actions available to the bank.
- Articulate risk contingency/containment recommendations/actions if necessary.
- Responsible for the formulation of strategic plans/actions to maximize performance within tolerable risk limitations.
- Work with members throughout the Enterprise to communicate all necessary information.
- Assists in annual budgeting process and prepare reports for internal purposes. Coordinates with other areas of the bank to obtain key budget assumptions

QUALIFICATIONS:

- Bachelors Degree preferred
- MBA preferred
- 5-7 years experience
- Experience with QRM, Bancware or Sendero preferred
- Knowledge of fixed income market
- Understand mortgage backed securities and their behavior

Online Application available at www.jobs4actuary.com

For further information, email info@nasearchg.com and mention Position #14777, or contact any of our recruiters at (905)-477-2962.

ActuaryForum.com / Actuarial Corner / Actuary Classifieds / Director-Asset Liability Management (Life) / Latest Posts

Director-Asset Liability Management (Life)