MBS ALM Risk Modeler
- New York, NY, USA
- Permanent, Full time
- Analytic Recruiting Inc.
- 09 Oct 18
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.
- 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
- 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, firstname.lastname@example.org or register online at www.analyticrecruiting.com choosing Jim Geiger as your contact recruiter.