Mortgage-Backed Security Risk Analytics Officer

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Mortgage-Backed Security Risk Analytics Officer

Location : Manhattan, NY On-site 3 days a week MUST LIVE LOCAL TO BE CONSIDERED

Salary : 160-180K + 12% Bonus + Pension

Due to US security regulations, this bank requires all candidates to be a Green Card holder (Permanent resident) or be a US Citizen. No exceptions.

Team Overview :

FRM & CRA (Financial Risk Management and Credit Risk Analytics) resides in the Risk Management Group. RMG is an independent point for all risk-related issues affecting the Bank's strategic & business plans and operating & financial performance.

The group oversees the maintenance of credit risk models and related analytics and reporting for the investment portfolio, member indebtedness, credit modeling, and counterparty credit risk.

Maintain Credit Risk Governance framework and define appropriate policy standards / limits, procedures, and reporting.

Position Overview :

Supported as lead mortgage officer as mortgage-backed security risk analytics officer for the bank's mortgage asset partnership (MAP) program.

Manage the monthly processes related to MAP product : review of inputs, assumptions, validation of results, reporting, and recalibration of models.

Support activities and projects as assigned by the Director or Senior Manager. Other assigned tasks may include risk projects in investment portfolio, member collateral, member indebtedness, credit modeling, and counterparty credit risk.

Position Description

• Provide monthly / quarterly risk analysis and reports for MAP and MPF portfolios.
• Provide analytical support for the models in production and work with Model Validators and the FHFA to obtain approval for their use.
• Work with vendors and manage mortgage credit risk models and corresponding databases across the organization. Participate in the development, execution, and management of such credit models and databases.
• Development and enhancement of methodologies and models for estimating credit risk parameters of the Bank's mortgage portfolios(Probability of Default, Loss Given Default, and Exposure at Default) for members and instruments.
• Design and implement new risk models using R, Python, Excel, etc.
• Participate in enhancements of a data management platform to address aspects of data integration, data quality, and centralized data management related to the Banks mortgage credit risk models.
• Identify risks and deficiencies to ensure model enhancements are consistent with internal and external requirements.
• Work with the Financial Risk Management and Credit Risk Analytics group and business to design, prototype, and implement enhancements to the existing risk models.

Inclusive of writing technical specifications and coordinate with IT on implementation of models

• Submission of all mortgage credit model changes, ongoing model performance monitoring, annual calibrations, model and software patches / enhancements consistent with FRM&CRA model validation process.
• Respond to the model and examine remediations and regulatory initiatives related to mortgage (AMA, RMBS, CMBS) credit risk models.
• Participate in maintaining a professional risk control environment conducted within the risk limits, processes, and standards set for the Bank's regulatory and operational risks and as reviewed by the Management Committees / Auditors / Examiners.
• Maintain all credit risk model documentation and desktop procedures consistent with FRM&CRA governance.
• Collaboration with all members of FRM&CRA, Credit Risk Management, Model Risk Management, Financial Accounting and Risk Technology teams and member of the Credit Collateral Risk Committee.

Required Experience

• 10+ plus years of risk or modeling experience with expertise in whole loan credit, mortgage-backed securities, and related products.
• Experience with other structured products, such as CMBS and ABS a plus.
• Experience in the 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 counterparty, structured product and mortgage and credit 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, i.e. : PolyPaths, Black Knight, Intex, CoreLogic Risk Model etc.

Broad-based knowledge of the credit analysis and monitoring process.

Technical

• Ability to run mortgage modeling systems including PolyPaths, Moody's MPA, Black Knight AFT
• Advanced Microsoft Office suite (Excel, PowerPoint and Word).
• Strong programming skills, such as Python, Excel / VBA / COM and C / C++. Statistical programming in R / S+, advanced SQL and Snowflake database querying.
• Functioning knowledge of SAP BI (WEBI) and Qlik Sense is a plus.

Addition Business and Technical skills :

• Ability to use quantitative as well as qualitative analysis and modeling techniques to identify, assess, and respond appropriately to risk exposures and emerging issues
• Strong Whole Loan / MBS and cash flow modeling skills, including use of analytic software.
• Experience in computational methodologies, interest rate, and credit cash flow modeling, Monte Carlo simulations, and understanding of stochastic calculus, stochastic processes, and interest rate derivatives valuation.
• Strong qualitative and analytical skills, including an understanding of the mortgage origination and securitization processes and a complete understanding of secondary market mechanics.
• Understanding of the mortgage, structured finance, and financial services industry.
• Develop forecasting models, credit, time series, and cashflow models. Understand financial statement analysis and accounting concepts.
• Ability to independently review and identify related risks of vendor-based mortgage models and internally developed end-user computing tools, the department-developed / supported applications, synthesize the corresponding risks and controls, and recommend adjustments.
• Analyze mortgage collateral and counterparty credit risk as well as the underlying risk in structured finance products, especially in the mortgage industry.
• Strong project management skills with the ability to prioritize, take initiative, self-manage time, manage internal and external stakeholders' time, and have the capacity to conduct multiple project and management deliverables simultaneously.

Interpersonal skills :

• Strong written and oral communication and interpersonal skills. Excellent analytical skills and ability to comfortably interact across all departments, management and staff within the organization.
• Planning and organizational skills to successfully manage multiple deliverables / projects concurrently by demonstrating flexibility in prioritizing and completing tasks.
• Ability to complete assignments and projects under tight deadlines and adjust seamlessly to changing deliverables and competing priorities.

Salary Range - $160,000 - $180,000

INDH

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