VP, Balance Sheet Management & Quantitative Risk
PenFed Credit Union is hiring a VP, Balance Sheet Management & Quantitative Risk at our headquarters PenFed Plaza in Mclean, Virginia. The primary purpose of this job is to lead balance sheet strategy, interest rate risk, capital planning and stress testing, and behavioral risk modeling activities to support integrated balance sheet forecasting, earnings, hedging, and capital adequacy efforts. This position will analyze balance sheet and earnings risks/opportunities and develop appropriate risk mitigation and/or optimization strategies.
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.
- Responsible for developing and managing quantitative balance sheet strategies that lead to more optimal use of capital and enhanced earnings in accordance with PenFed’s risk appetite.
- Lead the development portfolio asset mix/concentration, funding & liquidity, investments, derivative, and hedging balance sheet strategies in collaboration with the Treasury department.
- Manage the overall framework to identify and measure interest rate risk (IRR) using the Quantitative Risk Management (QRM) system with responsibility for the credit union’s valuation processes and assumptions, EVE and NII shock scenarios, and integration with income forecasting.
- Lead the integrated capital planning and stress testing analytical process for regulatory submission to the NCUA including the development of a capital plan, scenario design and development, capital adequacy assessments, and the formulation of Supervisory Stress Testing (SST) results.
- Responsible for the behavioral modeling and quantitative analytic functional group that support capital planning and stress testing, interest rate risk, and balance sheet/earnings forecasting including prepayment/attrition modeling, new volume origination models, non-maturity deposit modeling, and price elasticity models.
- Provide clear and insightful analysis, feedback and interpretation by way of written and/or oral reports to business units, senior management and the Board.
- As a member of the Asset/Liability Committee (ALCO) governance committee, incumbent will present analysis and lead discussions of capital adequacy, interest rate risk, earnings and tactical balance sheet management strategies.
- Maintain effective relationships with product teams to ensure balance sheet portfolio and earnings strategies are aligned with individual line of business product level strategies.
- Continually improve and enhance capital planning and stress testing, interest rate risk and quantitative modeling approaches and methodologies to promote alignment with industry best practices.
- Provide senior leadership to the department by attracting, developing, and retaining key talent, maintaining awareness of evolving market trends through interaction with broker/dealers and other financial institutions, and remaining abreast of regulatory developments impacting PenFed’s risk and return profile.
- Act as liaison with model validation teams, internal and external auditors and NCUA examiners.
Education and Experience
Equivalent combination of education and experience is considered.
- Advanced degree in a quantitative subject such as Finance, Economics, Mathematics, or Statistics; or a combination of education and experience that provides the necessary skills and knowledge to satisfactorily perform the job; MBA/CFA professional certification required.
- Minimum of fifteen (15) years’ experience in the areas of market risk, capital markets, and balance sheet management in a financial institution required.
- Minimum of five (5) years’ related experience in a Director role required.
- QRM Balance Sheet Management Framework, QRM Mortgage Banking System, or QRM Mortgage Servicing Rights System experience is preferred.
- Excellent understanding of the regulatory capital stress testing and/or the Federal Reserve’s CCAR and DFAST testing process, fixed income capital markets instruments and derivatives, and relevant generally accepted accounting principles (GAAP).
- Ability to manage multiple projects simultaneously and implement rapid changes in project direction.
- Ability to condense highly technical subject matter into clear, effective presentation-quality communications to senior management.
This position will supervise employees.
Licenses and Certifications
CFA professional certification is preferred.
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.
Established in 1935, PenFed today is one of the country’s strongest and most stable financial institutions with over 1.8 million members and over $25 billion in assets. We serve members in all 50 states and the District of Columbia, as well as in Guam, Puerto Rico, Okinawa, and Portugal. 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.
Our mission isn’t simply to help our members get by. We exist to help them realize every ounce of their potential. We exist to educate, and to encourage. We exist to usher their dreams into the land of reality.
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 571-341-6572.