DESCRIPTION : Duties : Calculate and present mortgage portfolio economics for reperforming and nonperforming pools under different trade and structure scenarios.
Extract mortgage related information in raw data form from various databases. Manage very large mortgage data sets in SAS.
Provide loan level pricing for the held-for-sale aged warehouse mortgage portfolio, including collateral or compliance defects.
Calculate, monitor and manage interest rate risk on legacy mortgage portfolios, including reperforming and nonperforming mortgages and home equity.
Oversee the home lending modification waterfall and calculation framework, and provide inputs to the discount rate for nonperforming loan analysis.
QUALIFICATIONS : Minimum education and experience required : Master's degree in Business Administration, Finance, Mathematical Finance, Mathematics, Economics, Operations Research, Engineering (Any), or related field of study plus 2 years of experience in the job offered or as Portfolio Manager, Financial Analyst, Business Analyst, or related occupation.
The employer will alternatively accept a Bachelor's degree in Business Administration, Finance, Mathematical Finance, Mathematics, Economics, Operations Research, Engineering (Any), or related field of study plus 5 years of experience in the job offered or as a Portfolio Manager, Financial Analyst, Business Analyst, or related occupation.
- Skills Required : Requires experience in the following : Extracting and manipulating large mortgage data sets using SQL and VBA;
- sale execution assessment for mortgages; designing data mining frameworks for mortgage-related information; Mortgage database management, including collection, cleaning, and archiving;
- fixed income bond math; mortgage markets; mortgage life cycle; mortgage pricing; mortgage modifications; mortgage cashflows;
- Transition from the London Interbank Offered Rate (LIBOR) to the Secured Overnight Financing Rate (SOFR); bank capital requirements;
- Non-Agency residential mortgage-backed securities (RMBS) structures; cashflow waterfall and associated risk; interest rate risk management;
immunization with swaps; To Be Announced trades (TBAs); and treasuries.Job Location : 383 Madison Avenue, New York, NY 10179.
Telecommuting permitted up to 40% of the week.Full-Time. Salary : $175,000 - $225,000 per year.
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