MBS ALM Risk Modeler

  • Competitive
  • New York, NY, USA New York NY US
  • Permanent, Full time
  • Analytic Recruiting Inc.
  • 09 Jul 18 2018-07-09

New York Based Financial Firm with a large portfolio of residential mortgage loans is looking for an experienced ALM and Interest Rate Risk Modeler to manage risk reporting and income forecasting projects.

Responsibilities:

  • Manage ALM and NII projects
  • Oversee the production of Interest Rate Risk measures and reports
  • Oversee the collection of data that feeds the banks risk and income forecasting models
  • Oversee the banks risk controls including risk limits, interest rate risk models, gap analysis and income simulation models
  • Provide subject matter expertise for the banks derivatives transactions related to both portfolio hedging and bank funding
  • Reviewing the bank’s regulatory compliance for interest rates including pricing, duration, convexity, portfolio construction, model validation and IRR reporting

Requirements:

  • 2+ years of Mortgage Risk Analytics Modeling
  • Advanced Degree (MS) in Finance
  • Demonstrated experience working on a Banks ALM or Fixed Income modeling team
  • Must have strong Mortgage Valuation and Risk Knowledge (Polypaths, QRM)
  • Must have strong Fixed Income Derivatives Knowledge
  • Must have hands on experience analyzing a banks income simulation and gap models
  • Must have experience managing financial risk management reporting and projects
  • Must have strong communication skills to work closely with internal managers and external risk regulators

Keywords: MBS Risk Analyst, ALM, Income Simulation, Gap Analysis, QRM, Polypaths, ALM Modeling, NII, Report Generation

Refer to Job #23077 and email MS Word attached resume to Jim Geiger, jeg@analyticrecruiting.com or register online at www.analyticrecruiting.com choosing Jim Geiger as your contact recruiter.