Treasury Director, Methodologies, Models and Frameworks 2 Locations

Location:

726 Exchange Street - Buffalo, New York 14210

Within the Asset and Liability Management (ALM) Group in the Corporate Treasury Department, the IRR team is responsible for the overall measurement, management and monitoring of interest rate risk in the banking book, including the monthly production and reporting of ALM and IRR metrics and key insights and outcomes to the Treasury Strategy Committee (TSC), Treasury Risk Oversight Committee (TROC), the Asset / Liability Committee (ALCO) and the Risk Committee of the KeyCorp Board of Directors.

The IRR Methodologies, Models and Frameworks Director will report to the Head of ALM and lead the IRR methodologies and model development, implementation, and governance.  The leader will manage the development and maintenance and support the oversight of the suite of IRR models (NII@risk, and EVE@risk) and feeder model network that include deposit pricing beta and other key assumption models such as attrition, prepayment, other behavioral optionality assumptions as well as stress testing models to support agile model enhancements and assumptions governance and drive best-in-class models appropriate for Key’s ALM forecasting and rate risk management, including the annual capital planning process.

 

The Director will work closely with the ALM forecasting and production team to ensure the models are appropriate managed to support key assumptions and metrics production including IRR models back testing, benchmarking, sensitivity analysis and other key activities and controls to ensure appropriate calibration, testing and ongoing performance.   In addition to providing support to the balance sheet modeling and consult on IRR production processes in the QRM architecture, the Director will be responsible for leading key engagement with LOB and deposit teams to develop relevant deposit attrition and beta models and assumptions with key participation in the regular ongoing deposit pricing beta governance forums with primary responsibility to oversee the support for, and implementation of, appropriate model overlays.

 

The Director will partner closely with the Quantitative Modeling and Advanced Analytics (QMAA) team of quantitative model developers to build and implement IRR models and methodologies as well as be a key point of contact with Model Risk management in the second line of defense to drive model review, validation, and ongoing monitoring activities.  The Director will also support robust IRR governance through the development and maintenance of relevant model assumptions, documentation, testing, and controls, collaborating with oversight groups including other second line of defense (e.g., Corporate Treasury Oversight) and third line of defense (e.g., Risk Review Group (internal audit)) teams.  Other close internal partners include groups in Corporate Treasury and Finance managing funding, FTP, liquidity, capital, FP&A, and LOB finance.  Finally, the Director will also lead KeyCorp’s interactions with QRM on matters related to the firm’s ALM models.

 

ESSENTIAL JOB FUNCTIONS

·        Lead the development, management, validation and performance monitoring of balance sheet forecasting and IRR models.

·        Develop meaningful analytical tools and methodologies to assess and manage interest rate risk in the banking book, including duration risk, yield curve, optionality risk and basis risk.

·        Promote thought leadership and active engagement in enhancing interest rate path and shock scenarios, including non-parallel rate shocks, alternative scenarios, and stress testing and other strategic and tactical enhancements to the IRR framework.

·        Enhance methods and models that impact key model assumptions, including interest rate scenarios, prepayment assumptions and new business volume/pricing.

·        Assist in validating new data sources, assumptions, and analytics produced by the IRR Production and Forecasting team, especially for new business initiatives.

·        Work with internal oversight groups including Model Risk and Corporate Treasury Oversight.

·        Part of Corporate Treasury ALM senior leadership with setting direction and priorities for the team, meeting interest management and reporting responsibilities while seeking out opportunities for continuous improvement, monitoring and controls in strategy, measurement and management of IRR.

 

 
REQUIRED QUALIFICATIONS

·        12-15 years of relevant corporate treasury, financial risk management and finance experience in banking or financial services

·        Excellent communication and internal partnering skills for this leadership position

·        Demonstrated knowledge of banking book IRR management and ALM theories, best practices and tools is a differentiator

·        Bachelor’s Degree, preferably in STEM, finance, economics or accounting is required. Master’s degree is preferred

·        Experience with ALM modeling software (QRM preferred)

 

COMPETENCIES/SKILLS

·        This is senior role with high visibility and potential for interaction with senior executives at the firm including the Corporate Treasurer, CFO, CRO and ALCO and a terrific opportunity to build a network across the bank with Finance, Risk and Lines of Business

·        Thought leadership and influencing skills to inform and advise on the direction on the strategic areas of Corporate Treasury balance sheet management and ALM for the bank

·        Practical hands-on experience working at a large or regional bank treasury or treasury risk management function

·        Excellent partnering skills with fellow Corporate Treasury leaders and peers in ALM, liquidity, capital, funding and investment teams

·        Strong knowledge of banking business models, and relevant prudential regulations requirements, issues, and challenges

·        Leadership skills and stakeholder management, including effective delegation and decisioning to coordinate team tasks and execution

·        Strong analytical skills and experience leveraging data and quantitative analytics tools and software

COMPENSATION AND BENEFITS

This position is eligible to earn a base salary in the range of $150,000 to $220,000 annually depending on location and job-related factors such as level of experience. Compensation for this role also includes eligibility for short-term incentive compensation and deferred incentive compensation subject to individual and company performance.

Please click here for a list of benefits for which this position is eligible.

Key has implemented a role-based Mobile by Design approach to our employee workspaces, dedicating space to those whose roles require specific workspaces, while providing flexible options for roles which are less dependent on assigned workspaces and can be performed effectively in a mobile environment. As a result, this role may be Mobile or Home-based, which means you may work primarily either at a home office or in a Key facility to perform your job duties.

Job Posting Expiration Date: 10/28/2024

KeyCorp is an Equal Opportunity and Affirmative Action Employer committed to building a diverse, equitable and inclusive culture. All qualified applicants will receive consideration for employment without regard to race, color, religion, sex, sexual orientation, gender identity, national origin, disability, veteran status or other protected category.

 

Qualified individuals with disabilities or disabled veterans who are unable or limited in their ability to apply on this site may request reasonable accommodations by emailing HR_Compliance@keybank.com.

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