Provide risk analysis for capital markets and treasury and mortgage lines of business for the bank which includes oversight of asset and liability management for the investment portfolio, funding and liquidity management, funds transfer pricing, capital planning, mortgage servicing rights, and mortgage pipeline activities. Analyze, review, and create daily dashboards for the treasury derivatives using BlackRock Risk Management tools, OpenLink system, Adaptiv system and VBA Excel. Develop stress-tests and scenario analysis models to measure interest rate, spread and prepayment speed sensitivity using advanced statistical techniques, VBA Excel programming, Bloomberg Analytics and Quantitative Risk Management (QRM) tools. Perform rate shock scenario analysis and analyze impact on market value. Analyze the exposure under yield curve scenarios of Flatten Rise, Flatten Fall, Steepen Fall and Steepen Rise.

Master’s degree in Statistics, Economics, Business Analytics or related field. Requires at least 3 months of experience with financial risk analysis including at least one of the following: mortgage, fixed income, interest rate or liquidity. Also requires at least 3 months of SAS or VBA.

LOCATION OF EMPLOYMENT:   38 Fountain Square Plaza, Cincinnati, Ohio 45263
-remote work may be possible