Responsible for measuring and monitoring market risk of the Bank's balance sheet utilizing complex financial models, performing stress tests of market risk exposures and assessing model performance. The incumbent of this position will assist with the implementation and maintenance of the Asset/Liability Management ("ALM") system. The incumbent will interact with various departments such as model risk management and capital markets and present analysis to the market risk committee.
- Conduct month-end valuation of the Bank's balance sheet; Analyze and review production results.
- Project and attribute the drivers of long term income for the Bank, perform related quantitative analysis.
- Prepare Market Risk Committee (MRC), Enterprise Risk Committee (ERC), Board, Compliance reports and other reports related to the Bank's market risk exposure.
- Perform daily Mortgage Partnership Finance (MPF) mortgage whole loan pricing and QRM market preparation.
- Maintain and enhance market risk models, processes and EUCs including the QRM ALM system.
- Perform prepayment model back-testing and benchmarking
- Implement recommendations/findings from FHFA exam, model validation and other audit processes.
- Support FAS Valuation related processes.
- Conduct ad hoc analysis related to the Bank's market risk exposures and testing and validation of data related to Bank-wide projects.
- Manage departmental regulatory issues and internal controls.
- Master's degree in finance, economics, mathematics, statistics or other quantitative or computing field.
- At least 2 years of experience in quantitative or financial analysis in risk management and portfolio management or a Ph.D. in one of the above fields.
- Understanding of term structure modeling including its validation, market calibration and be able to justify the application of specific structure models.
- Strong analytical and computer skills in Excel, PowerPoint, Word and relational databases such as SQL and Access. Programming skills preferred.
- Ability to work in a team environment and to collaborate with internal staff.
- Strong oral and written communication skills.