Apply quantitative risk management modeling to identify and measure risks associated with market interest rates and asset liability, and measure and analyze short- and long-term interest rate risk on the bank's balance sheet using QRM (Quantitative Risk Management) software tool. Update/refreshmarket interest rate path scenarios, execute additional "what if" scenarios, and summarize implications. Implement Interest Rate Risk (IRR) measurement processes and methodologies. Measure IRR and forecast Net Interest Income (NII) utilizing QRM modeling system. Analyze IRR and recommend potential remediation. Assess whether deposit acquisition/retention models are performing as expected. Perform CCAR stress testing calculations, using ALM analytics, including OCI, NII, Balance forecast and RWA. Perform back-testing of NII forecast vs actual numbers. Identify analytics process improvements and develop best practice Asset-Liability Management (ALM) model.
Master's degree in Finance, Economics, Business
Minimum of 5 years of experience in banking demonstrating an understanding of all major bank balance sheets and bank-related products.
EEO/AA Employer/Minority/Female/Disability/Veteran/Sexual Orientation/Gender Identity
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Posting ID: 555283435Posted: 2020-05-27