Analytic Recruiting
MBS Risk Modeling Lead
Analytic Recruiting, New York, New York, us, 10261
A financial institution that has been in NY for almost 100 years seeking an
MBS Risk Modeling Lead
to review assumptions, inputs, validation of results, reporting and model calibration. This person may also handle risk projects in collateral, investment portfolio, credit modeling and counterparty credit risk.Location:
New York, NYSalary:
Up to 180k base + bonusVisa sponsorship is NOT AVAILABLEThe group is responsible for maintenance of credit risk models, related analytics and reporting. This person will maintain the Credit Risk Governance framework and define appropriate policy standards/limits, procedures and reporting.Responsibilities:Provide monthly/quarterly risk analysis and reports for mortgage portfolioProvide analytical support for the models in production, work with Model Validators and FHFA to obtain approval for use of the modelsParticipate in development, management and execution of mortgage credit risk modelsDevelopment/enhancement of models and methodologies for estimating credit risk parameters of the Bank's mortgage portfolios (Probability of Default, Loss Given Default and Exposure at Default) for members, instrumentsDesign and implementation of new risk models using R, Python, Excel, etc.Collaborate to enhance the data management platform to address aspects of data quality, data integration, and centralized data management related to mortgage credit risk modelsSubmit mortgage credit model changes, model performance monitoring, calibrations, model/software patches and enhancements consistent with model validation processRespond to remediations for model, exam and regulatory initiatives as related to mortgage (RMBS/CMBS) credit risk modelsRequirements:7+ years of risk/modeling experience with expertise in mortgage-backed securities, whole loan credit, and related productsExperience in development and enhancement of methodologies and models for estimating credit risk parameters (Probability of Default, Loss Given Default and Exposure At Default)Experience in analyzing structured products, mortgage/credit risk and counterparty riskExperience working with vendor based credit models and data tools, primarily Moody's MPA (Mortgage Portfolio Analyzer)Knowledge of risk management, trading systems used for Interest Rate, Credit and Structured Products (PolyPaths, Black Knight, Intex, CoreLogic Risk Model etc.)Advanced Microsoft Office suite (Excel, PowerPoint and Word)Strong Python programming skills, Statistical programming in R/S+, advanced SQL and/or Snowflake data base queryingStrong Whole Loan/MBS, cash flow modeling skills, and use of analytic softwareExperience in computational methodologies, interest rate and credit cash flow modeling, Monte Carlo simulations and interest rate derivatives valuationUnderstanding of the mortgage origination and securitization processes
MBS Risk Modeling Lead
to review assumptions, inputs, validation of results, reporting and model calibration. This person may also handle risk projects in collateral, investment portfolio, credit modeling and counterparty credit risk.Location:
New York, NYSalary:
Up to 180k base + bonusVisa sponsorship is NOT AVAILABLEThe group is responsible for maintenance of credit risk models, related analytics and reporting. This person will maintain the Credit Risk Governance framework and define appropriate policy standards/limits, procedures and reporting.Responsibilities:Provide monthly/quarterly risk analysis and reports for mortgage portfolioProvide analytical support for the models in production, work with Model Validators and FHFA to obtain approval for use of the modelsParticipate in development, management and execution of mortgage credit risk modelsDevelopment/enhancement of models and methodologies for estimating credit risk parameters of the Bank's mortgage portfolios (Probability of Default, Loss Given Default and Exposure at Default) for members, instrumentsDesign and implementation of new risk models using R, Python, Excel, etc.Collaborate to enhance the data management platform to address aspects of data quality, data integration, and centralized data management related to mortgage credit risk modelsSubmit mortgage credit model changes, model performance monitoring, calibrations, model/software patches and enhancements consistent with model validation processRespond to remediations for model, exam and regulatory initiatives as related to mortgage (RMBS/CMBS) credit risk modelsRequirements:7+ years of risk/modeling experience with expertise in mortgage-backed securities, whole loan credit, and related productsExperience in development and enhancement of methodologies and models for estimating credit risk parameters (Probability of Default, Loss Given Default and Exposure At Default)Experience in analyzing structured products, mortgage/credit risk and counterparty riskExperience working with vendor based credit models and data tools, primarily Moody's MPA (Mortgage Portfolio Analyzer)Knowledge of risk management, trading systems used for Interest Rate, Credit and Structured Products (PolyPaths, Black Knight, Intex, CoreLogic Risk Model etc.)Advanced Microsoft Office suite (Excel, PowerPoint and Word)Strong Python programming skills, Statistical programming in R/S+, advanced SQL and/or Snowflake data base queryingStrong Whole Loan/MBS, cash flow modeling skills, and use of analytic softwareExperience in computational methodologies, interest rate and credit cash flow modeling, Monte Carlo simulations and interest rate derivatives valuationUnderstanding of the mortgage origination and securitization processes