Quantitative Treasury Expert
2 weeks ago
Role Overview
As a Senior Quantitative Treasury Analyst at Alterna Savings, you will play a crucial role in the development, implementation, and monitoring of interest rate risk measurement and management procedures. You will also provide financial decision-making support to Management. Your responsibilities will include developing and generating balance sheet risk reports for the Asset Liability Committee (ALCO) using advanced computer simulation techniques, developing and analyzing balance sheet risk management strategies, and forecasting and managing interest margin. You will also be responsible for monitoring the effects of product and interest rate changes.
Key Responsibilities
- Develop and analyze balance sheet risk reports using simulation modeling
- Ensure the accuracy of data used for Alterna Savings' balance sheet risk management reporting systems
- Analyze and report on Alterna Savings' balance sheet risk at ALCO meetings
- Develop, model, present, and implement balance sheet risk management strategies
- Evaluate and analyze potential derivative transactions
- Ensure the successful settlement of all derivative transactions
- Prepare and analyze margin data to determine monthly assessments of margin and earnings
- Support managers in the understanding and use of balance sheet analyses in their decision-making
- Perform statistical analysis to derive, validate, and support behavior assumptions utilized in financial models
- Prepare detailed interest rate risk and analysis reports
- Understand and use historical balance sheet results in the financial evaluation of strategic interest margin initiatives and projects
- Ensure interest margin information is available to aid management in developing plans and making decisions
- Prepare compliance reporting that supports various Risk Management policies
- Assist in the development of various stress testing exercises
- Develop, analyze, and forecast the annual margin budget in conjunction with Senior Management
- Prepare and update quarterly and annual budgeting and forecasting updates to NIM
- Assist in the continuous improvement of existing processes and procedures
- Prepare detailed MIN analysis and reporting
- Participate in special cross-functional and other ad hoc projects as required
- Follow all policies and procedures required to maintain a safe and healthy working environment
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