Finance and Asset Liability Management.Voting member of the Corporate ALCO Committee.Member of the Board ALCO Committee.Chair of the Balance Sheet Strategy meeting.My staff is responsible for producing and providing to management and the Board all analytical work, as well as producing all other sections of the ALCO report.Currently in charge of all Treasury activities.

Calculated and reported the daily risk position of the enterprise to the global asset management group. This involved calculating the change in risk attributed to daily activity and the change in risk due to the movement in interest rates. This analysis was performed at the transaction level and the impact to both equity volatility and earnings volatility was reported on a daily basis.Provided security level market value shocks and risk attributes to the MBS, ABS and Corporate portfolio managers and risk managers to aid in the management of the overall risk position.Responsible for applying appropriate prepayment assumptions using Andrew Davidson models and responsible for updating the CMO cash flow database in QRM by selecting appropriate prepayment functions at the collateral level.Provided the MBS and ABS/Corporate portfolio managers with yield forecasts based on QRM prepayment and amortization results. These results were part of the bank’s net interest margin forecast.

Performed asset/liability management analysis for a bank with a large concentration of assets in commercial lines of credit and whole loan hybrid ARMs.Prepared Value at Risk (VAR) analyses to measure the one-month exposure of the investment portfolio which had a substantial holding of CMOs.Installed and managed the QRM Mortgage Servicing Rights model in order to value and amortize the capitalized mortgage servicing fees.Developed SQL scripts to load the bank’s balance sheet into QRM from account level files.

Provided interest rate risk analysis for earnings and equity to client credit unions as either a separate service or as part of the complete investment advisory service. Hired and mentored a staff of financial analysts to perform ALM analysis for the firm’s growing list of clients.Implemented data management systems and procedures to handle a growing number of financial models using IPS-Sendero