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USAA: Asset liability management advisor senior


This is a Full-time position in Los Angeles, CA posted March 31, 2020.

Purpose of Job Serves as a key contributor in the design, implementation, and management of USAA Interest Rate Risk program responsible for related analysis, management, planning and reporting.

Utilizes analytical tools and effective reporting to perform financial activities, including periodic reporting on interest rate risk metrics used to develop asset/liability or interest rate risk strategy for USAA Bank or at the Enterprise level.

Utilizes good general knowledge of banking, investments or insurance products and related risk measures, particularly interest rate risk, optionality, correlations, and return on capital.

Serves as a subject matter expert in the field of interest rate risk reporting and management for Banks or Bank Holding Companies, and internal and external auditors.

Independently assesses and appropriately communicates changes in interest rate risk regulatory proposals and rules and will play a critical role in leading and performing interest rate risk management functions, and in achieving and maintaining interest rate risk compliance.

Job Requirements Tasks:Measures, monitors, and controls interest rate exposures for USAA Bank or at the enterprise level.

Partners with interest rate risk managers, Bank SFO and product managers to provide analytics and support for interest rate risk and product profitability models that assist in the development of strategic planning for USAA.Develops and manages analytical models to explain the change in values of assets and liabilities and provide attribution and sensitivity analyses for all inputs and assumptions that may drive gains or losses.

Provides management with sufficient information to manage USAA Bank/Enterprise’s interest rate risk process.

Maintains the model(s) used to manage interest rate risk at the Bank or with Bank Holding companies.

Ensures all assumptions and inputs for interest rate risk modeling are consistently applied within the Bank or across the enterprise.

Performs model governance activities consistent with best practices and regulatory requirements.Models, analyzes, and reports re pricing mismatches, basis risk, yield curve risk, and options risk.

Develops recommendations for hedging strategies to mitigate exposures in excess of tolerances.

May generate Board of Directors Interest Rate Risk Management reporting packages such as quarterly CALM or monthly ALCO.

May represent Treasury/Bank in collaboration with others such as Line of Business Interest Rate Risk Managers, Senior Financial Officers, Financial Planning and Analysis, External Reporting, Controllers, Project Management, and Risk Management across Bank and/or the Enterprise.

Researches, analyzes, and communicates the requirements and impacts of regulations affecting interest rate risk management and reporting activities.

Maintains solid understanding of evolving regulatory requirements that may include OCC, FDIC, Basel III, ORSA and the Federal Reserve’s regulations regarding interest rate risk management for U.S.

savings and loans, holding companies, and the Dodd-Frank Act.Maintains policies and procedures for Bank and Enterprise interest rate risk management.Develops implementation strategies and recommendations, and serves as a subject matter expert on Enterprise and/or Bank implementation effortsMinimum Requirements Bachelor’s degree in Finance, Mathematics, Actuarial Science, Economics, Computer Science, or a related field required OR Master’s degree in Business, Finance, Statistics or other quantitative degree OR CFA designation OR 4 additional years of related experience beyond the minimum required may be substituted in lieu of a degree.

Minimum of 6 years’ experience in corporate treasury finance position in banking.

Minimum of 3 years’ in a position directly related to asset liability management or interest rate risk management.

Experience with large bank asset liability systems and industry standard software (such as QRM, Bancware, Kamakura, etc.).

Familiarity with the interest rate risk management requirements of a Bank Holding Company.

Advanced mathematical skills and working knowledge as they relate to modeling and valuation of fixed income instruments and/or derivatives.

Advanced knowledge of Microsoft Office products including Excel, Word and PowerPoint.

Preferred QualificationsStrong knowledge of data analyticsStrong knowledge with Bancware and/or QRMStrong knowledge with ALMDemonstrated ability to influence othersAbility to drive for performanceAbility to identify process improvementsAbility to consume complex financial information and formulate executive ready summaries and presentationsStrong time management skillsSelf-starterSDL2017