NY based Fixed Income Firm with a large RMBS portfolio is looking for a Financial Risk Modeler to work on improving and automating the firms risk management models, risk reporting and fixed income analytics infrastructure.
- Develop and enhance risk management models
- Build and improve risk models such as: VaR, stress testing, Scenario analysis, risk analytics, collateral risk and income simulation.
- Run simulations that will incorporate all aspects of the MBS portfolio: accounting, products, funding, hedging, balance sheet targets, cash management and risk targets
- Oversee and run the firms analytical and financial reports
- Work on monthly reporting: Transactional Data; Profitability Analysis; Budget Variance Analysis
- Contribute to the firms strategic and annual business plans
- Work on improving financial analysis processes and methodologies
- 2+ years of hands on MBS portfolio analysis experience using ALM projection models [PolyPaths preferred] for forecasting, budgeting, profit analysis and financial reporting
- Advanced Quantitative degree in Math, Financial Engineering, Statistics
- Must have current and strong financial modeling skills [PolyPaths preferred]
- Must have current programming skills with Python, and SQL.
- Must have superior written and oral communication skills
- Must have strong Database and SQL Query experience
- Only candidates who are US Citizens or who have Permanent Resident status will be considered.
Keywords: Market Risk, PolyPaths, MBS, ALM, Automation, Simulation, Forecasting, Budgeting, Profit Analysis
Data Analyst, SQL, Analytics
Please refer to Job 23133 – and send MS Word attached resume to Jim Geiger, email@example.com | For More Opportunities, please visit www.analyticrecruiting.com