Director, Asset / Liability Management & Valuation - PenFed Credit Union

Our goal at PenFed is to empower our members to “Do Better” financially. Our mission is to provide our members the tools to reach their financial goals. At PenFed, our members are like family, and we believe that everyone who dreams big and works hard deserves great rates and rewards. If you have a passion for meaningful work and helping others, you belong here!

PenFed is hiring a (Remote) Director, Asset / Liability Management & Valuation associated with our Tysons, Virginia location.  The primary purpose of this job is to lead the development and quantification of a robust interest rate measurement process.  This position will analyze balance sheet and earnings risks/opportunities and develop appropriate risk mitigation and/or optimization strategies that support earnings, hedging, and capital adequacy efforts in accordance with PenFed’s risk appetite and policy limits.  

This role is available as REMOTE, Nationwide. Local DMV candidates to Tysons, VA Headquarters will be Hybrid.

**This role can be located anywhere in the United States**
The anticipated starting salary range for this role is $149,198 to $233,374
This position is eligible for the organization’s annual Balanced Scorecard bonus subject to board discretion and approval 
This position is also eligible for the opportunity for an annual Pay for Performance bonus 

Responsibilities:

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 the overall framework, process, and methodologies to identify and measure interest rate risk (IRR) using the Quantitative Risk Management (QRM) system
• Responsible for the calculation of interest rate risk measures including duration, convexity and other risk measures including the generation of shock scenarios for Economic Value of Equity (EVE), Net Interest Income (NII), and Key Rate Duration (KRD).
• Lead the mark-to-market valuation process for the credit unions’ asset, liability, and derivative positions, including the valuation of mortgage and consumer loans, non-maturity deposits, and investments.
• Manage direct reports in developing and incorporating behavioral pattern knowledge into the modeling of uncertain cash flows such as mortgage prepayments and indeterminate maturity deposits into interest rate risk modeling.   
• Lead the ALM Working Group with cross functional participation to develop and quantify the credit unions’ balance sheet hedging and derivative strategies that manage EVE exposure and NII sensitivity within PenFed’s risk appetite and policy limits.
• Foster the understanding of balance sheet modeling assumptions and approaches, such as prepayment/runoff/attrition and repricing models, with the second line of defense in order to provide transparency and facilitate effective challenge.
• Liaise with the Model Risk Management (MRM) Working Group for the development and ongoing validation of interest rate risk modeling methodologies and assumptions that support a robust IRR modeling process.
• Develop and present analysis and lead discussions of interest rate risk in ALM Working Group and the Asset-Liability Committee (ALCO). 
• Maintains an in-depth 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, basis risk, etc.
• Continually improves and enhances interest rate risk modelling approaches and methodologies to promote alignment with industry best practices; remain abreast of regulatory developments impacting PenFed’s risk and return profile. 
• Provides senior leadership to the department by attracting, developing, and retaining key talent
• Acts as liaison with the second line of defense, MRM team, internal and external auditors and NCUA examiners.

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 twelve (12) years’ experience in the areas of market risk, capital markets, and balance sheet management in a financial institution.
• Minimum of four (4) years’ management experience
• QRM Balance Sheet Management Framework, QRM Mortgage Servicing Rights System, or QRM Mortgage Banking 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.

Supervisory Responsibility

This position will directly supervise employees.

Licenses and Certifications

CFA professional certification is 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.*

Travel

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 2.8 million members and over $36 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 402-639-8568.