A financial institution that has been in NY for almost 100 years seeking an MBS Risk Modeling Lead to review assumptions, inputs, validation of results, reporting and model calibration. This person may also handle risk projects in collateral, investment portfolio, credit modeling and counterparty credit risk.
Location: New York, NY
Salary: Up to 180k base + bonus
Visa sponsorship is NOT AVAILABLE
The group is responsible for maintenance of credit risk models, related analytics and reporting. This person will maintain the Credit Risk Governance framework and define appropriate policy standards/limits, procedures and reporting.
Responsibilities:
- Provide monthly/quarterly risk analysis and reports for mortgage portfolio
- Provide analytical support for the models in production, work with Model Validators and FHFA to obtain approval for use of the models
- Participate in development, management and execution of mortgage credit risk models
- Development/enhancement of models and methodologies for estimating credit risk parameters of the Bank’s mortgage portfolios (Probability of Default, Loss Given Default and Exposure at Default) for members, instruments
- Design and implementation of new risk models using R, Python, Excel, etc.
- Collaborate to enhance the data management platform to address aspects of data quality, data integration, and centralized data management related to mortgage credit risk models
- Submit mortgage credit model changes, model performance monitoring, calibrations, model/software patches and enhancements consistent with model validation process
- Respond to remediations for model, exam and regulatory initiatives as related to mortgage (RMBS/CMBS) credit risk models
Requirements:
- 7+ years of risk/modeling experience with expertise in mortgage-backed securities, whole loan credit, and related products
- Experience in development and enhancement of methodologies and models for estimating credit risk parameters (Probability of Default, Loss Given Default and Exposure At Default)
- Experience in analyzing structured products, mortgage/credit risk and counterparty risk
- Experience working with vendor based credit models and data tools, primarily Moody’s MPA (Mortgage Portfolio Analyzer)
- Knowledge of risk management, trading systems used for Interest Rate, Credit and Structured Products (PolyPaths, Black Knight, Intex, CoreLogic Risk Model etc.)
- Advanced Microsoft Office suite (Excel, PowerPoint and Word)
- Strong Python programming skills, Statistical programming in R/S+, advanced SQL and/or Snowflake data base querying
- Strong Whole Loan/MBS, cash flow modeling skills, and use of analytic software
- Experience in computational methodologies, interest rate and credit cash flow modeling, Monte Carlo simulations and interest rate derivatives valuation
- Understanding of the mortgage origination and securitization processes
