PenFed Credit Union
Senior Analyst, Asset/Liability Management and Valuation
At a glance
Location: US-OR-Eugene Map
Posted: 07/30/2021
Closing: 08/29/2021
Degree: Graduate Degree
Type: Full-Time
Experience: Not Specified
PenFed Credit Union
Job description

Are you looking to take your career from good to great? As an employee of PenFed, every day is an opportunity to thrive, and be part of a team working to ensure our organization is providing world class service to our members, employees, and our communities. We exist to help our members realize their full potential, educate and encourage their dreams, and make every effort to follow our mission and help our members “do better.” Joining PenFed is more than being an employee; it’s about being a part of the PenFed family.


PenFed is hiring a Senior Analyst, Asset/Liability Management and Valuation at one at the following location: McLean, Virginia; Omaha, Nebraska; Papillion, Nebraska; Eugene, Oregon; San Antonio, Texas; and Jacksonville, Florida. The primary purpose of this job is to perform effective interest rate and liquidity risk measurement and valuation of loans, deposits and mortgage servicing rights (“MSR”) using the QRM Balance Sheet Management and QRM Mortgage Servicing Rights systems. This role will work independently to produce robust quantitative analysis and support the interest rate and liquidity risk measurement process.


Reasonable accommodations may be made to enable individuals with disabilities to perform the essential functions. This is not intended to be an all-inclusive list of job duties and the position will perform other duties as assigned.

  • Performs sophisticated analysis and measurements in the areas of interest rate risk, liquidity coverage ratio, liquidity stress testing and asset/liability valuation and pricing; focusing on identifying drivers of risk to explain variance against performance targets and limits.
  • Supports the Senior Valuation and Pricing Manager using sophisticated analytical methods and tools to improve, validate and benchmark model performance, including the calibration of term structure, mortgage prepayment and volatility modeling, rate/volume forecasts, and MSR discount rate and cost/revenue functions.
  • Develops and implements models within the QRM systems to automate the process of liquidity coverage ratio measurements and liquidity stress testing.
  • Maintains and updates the documentation for models and processes used in interest rate and liquidity risk measurements and other quantitative analysis, covering detailed procedures, assumptions, rationales and version controls.
    Works with other members of the Financial Analysis team to incorporate behavioral pattern knowledge into the modeling of uncertain cash flows such as mortgage prepayments, credit card assets, provision for loan losses, indeterminate maturity deposits, and roll-over functions.
  • Maintains a working knowledge of securities markets and fixed income instruments including mortgage-related products, interest rate derivatives, (e.g., swaps, caps, etc.), indeterminate maturity deposits, option pricing theory, and interest rate risk measurement concepts such as duration, convexity, vega, basis risk, etc.


Equivalent combination of education and experience is considered.

  • Minimum of three (3) years’ work experience in a financial institution using sophisticated asset/liability management or derivative pricing models that forecast uncertain cash flows for risk measurement. Advanced ALM and MSR software experience desired.
  • Knowledge of financial concepts used in present value analysis, financial modeling, and capital markets.
  • Advanced degree in finance, economics, mathematics, or another quantitative discipline required and experience that provides the necessary skills and knowledge to satisfactorily perform the essential job functions. MBA and/or CFA professional certification preferred.
  • Knowledge of database design and Structured Query Language (“SQL”) desired.
  • Ability to manage multiple projects simultaneously and implement rapid changes in project direction. 

Supervisory Responsibility

This position will not supervise employees.

Licenses and Certifications

CFA professional certification preferred.

Work Environment

While performing the duties of this job, the employee is regularly exposed to an indoor office setting with moderate noise.

*Most roles require working in an office setting with moderate noise and the ability to lift 25 pounds.*



Ability to travel to various worksites and be on-call is required.


Special Message Regarding COVID 19

PenFed is continuing to hire and train exceptional individuals to help us serve our 2 million members both here and around the world.  In light of the current situation with novel coronavirus (COVID-19), we have modified our hiring, onboarding, training, and deployment protocols in order to comply with current local and state guidance around social distancing.

About Us

Established in 1935, PenFed today is one of the country’s strongest and most stable financial institutions with over 2 million members and over $26 billion in assets. We serve members in all 50 states and the District of Columbia, as well as in Guam, Puerto Rico and Okinawa. We are federally insured by NCUA and we are an Equal Housing Lender. We are available to members worldwide, via the web, seven days a week, twenty-four hours a day.


We provide our employees with a lucrative benefits package including robust medical, dental and vision plan options, plenty of paid time off, 401k with employer match, on-site fitness facilities at our larger locations, and more.


Equal Employment Opportunity

PenFed management will maintain and observe personnel policies which will not discriminate or permit harassment or retaliation against a person because of race, color, creed, age, sex, gender, gender identity, gender expression, religion, national origin, ancestry, marital status, military or veteran status or obligation, the presence of a physical and/or mental disability or medical condition, genetic information, sexual orientation, and all statuses protected by applicable state or local law in all recruiting, hiring, training, compensation, overtime, position classifications, work assignments, facilities, promotions, transfers, employee treatment, and in all other terms and conditions of employment. PenFed will also prohibit retaliation against individuals for raising a complaint of discrimination or harassment or participating in an investigation of same.


PenFed will also reasonably accommodate qualified individuals with a disability so that they can apply for a job or perform the essential functions of a job unless doing so causes a direct threat to these individuals or others in the workplace and the threat cannot be eliminated by reasonable accommodation or if the accommodation creates an undue hardship to PenFed. Contact human resources (HR) with any questions or requests for accommodation at 240-224-4256.



Senior Analyst, Asset/Liability Management and Valuation