ESR Healthcare
Quantitative Risk Director Jersey City, NJ ref
ESR Healthcare, Jersey City, New Jersey, United States, 07390
Quantitative Risk DirectorJersey City, NJSkills:
Risk, Quantitative RiskExperience Level:
DirectorExperience Required:
5 YearsEducation Level:
Master’s degreeJob Function:
Accounting/AuditingIndustry:
Financial ServicesCompensation:
View salaryTotal Position:
1Relocation Assistance:
NoVisa:
US citizens, Green card holders preferredDepartment Description:Being a member of the Chief Risk Office, the MBS (mortgage-backed securities) Specialist will focus on developing and improving risk management methodologies related to the mortgage asset class, in the context of risk management and valuation. The candidate should have experience modeling the cash flows and risks associated with mortgage-backed securities as well as building a risk analytics platform by integrating external vendor models. The specialist will use this experience to make strategic recommendations on modeling, risk management, and macroeconomic outlooks for portfolio risk management. The candidate will also be responsible for the development and maintenance of relationships with other major mortgage analytics vendors.Job Description:Lead mortgage prepayment models currently used by DTCC's FICC group in risk modeling.Develop deep knowledge in portfolio characteristics and customer behavior through data mining, segmentation analysis, and market analysis.Supervise vendor and internal risk model performance and communicate results to internal partners and external regulators.Propose model changes as vital such as tuning and recalibration, supporting with sensitivity testing, back testing, and fundamental driver analyses.Demonstrate understanding of related models that affect mortgage valuation and forecasting, including term structure, credit risk, and mortgage interest rate models.Interface successfully with Model Risk Management, Market Risk Management, Internal Audit, IT, and other cross-functional groups to facilitate periodic model monitoring and validation.Interface optimally with regulators in discussing market trends, model performance, results of sensitivity analysis, and vendor service performance.Collaborate with vendors on periodic model/analytics updates, upcoming release planning and execution, ongoing service dialog.Work with Data Integrity and other teams to ensure accurate Quality Assurance and Quality Control.Propose improved approaches to modeling mortgage and other prepayment exposures.Educate and mentor colleagues on mortgage prepayment modeling.Qualifications:5+ years of experience in MBS modeling and/or model performance monitoring; experience building a risk analytics platform is a strong plus.Master’s degree in Finance/Mathematics/Engineering required; PhD a plus.Familiarity with prepayment model, interest rate model, and VaR model.Familiarity with at least one high-level programming language (Python, C++, Java, etc.); familiarity with SQL is a strong plus.Excellent social skills, both oral and written; ability to communicate quantitative concepts to financial professionals.Strong analytical and problem-solving skills.Familiarity with Covered Clearing Agency Standards is a big plus.
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Risk, Quantitative RiskExperience Level:
DirectorExperience Required:
5 YearsEducation Level:
Master’s degreeJob Function:
Accounting/AuditingIndustry:
Financial ServicesCompensation:
View salaryTotal Position:
1Relocation Assistance:
NoVisa:
US citizens, Green card holders preferredDepartment Description:Being a member of the Chief Risk Office, the MBS (mortgage-backed securities) Specialist will focus on developing and improving risk management methodologies related to the mortgage asset class, in the context of risk management and valuation. The candidate should have experience modeling the cash flows and risks associated with mortgage-backed securities as well as building a risk analytics platform by integrating external vendor models. The specialist will use this experience to make strategic recommendations on modeling, risk management, and macroeconomic outlooks for portfolio risk management. The candidate will also be responsible for the development and maintenance of relationships with other major mortgage analytics vendors.Job Description:Lead mortgage prepayment models currently used by DTCC's FICC group in risk modeling.Develop deep knowledge in portfolio characteristics and customer behavior through data mining, segmentation analysis, and market analysis.Supervise vendor and internal risk model performance and communicate results to internal partners and external regulators.Propose model changes as vital such as tuning and recalibration, supporting with sensitivity testing, back testing, and fundamental driver analyses.Demonstrate understanding of related models that affect mortgage valuation and forecasting, including term structure, credit risk, and mortgage interest rate models.Interface successfully with Model Risk Management, Market Risk Management, Internal Audit, IT, and other cross-functional groups to facilitate periodic model monitoring and validation.Interface optimally with regulators in discussing market trends, model performance, results of sensitivity analysis, and vendor service performance.Collaborate with vendors on periodic model/analytics updates, upcoming release planning and execution, ongoing service dialog.Work with Data Integrity and other teams to ensure accurate Quality Assurance and Quality Control.Propose improved approaches to modeling mortgage and other prepayment exposures.Educate and mentor colleagues on mortgage prepayment modeling.Qualifications:5+ years of experience in MBS modeling and/or model performance monitoring; experience building a risk analytics platform is a strong plus.Master’s degree in Finance/Mathematics/Engineering required; PhD a plus.Familiarity with prepayment model, interest rate model, and VaR model.Familiarity with at least one high-level programming language (Python, C++, Java, etc.); familiarity with SQL is a strong plus.Excellent social skills, both oral and written; ability to communicate quantitative concepts to financial professionals.Strong analytical and problem-solving skills.Familiarity with Covered Clearing Agency Standards is a big plus.
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