VP - Market Risk Analytics (Fixed Income & Securitized Products)

Responsibilities

• Develop, test, implement and document risk analytics for new products
• Lead the enhancement of infrastructure to implement new risk analytics models including controls to monitor their performance
• Perform quantitative research to implement model changes, enhancements and remediation plans
• Work with stakeholders across business and functional teams during model development process
• Create tools and dashboards which can enhance and improve risk analysis
• Conduct analysis on existing model short-comings and design remediation plans
• Maintain, update, improve and back-test risk models
• Analysis and governance of historical time series data
• Identify risk not captured by analytics, develop and implement methodology to quantify the materiality, and design strategic plan to better integrate and manage such risk
• Ongoing analytical support of the business

Qualifications

• 4-7 years of experience in quantitative modeling for market risk, focused on fixed income and securitized products
• Master’s degree in a quantitative field, such as mathematics or physics, preferred
• Deep understanding of Value-at-Risk and the OAS framework with a focus on fixed income and securitized products (e.g., agency MBS, etc.)
• Knowledge of pricing and risk models for financial derivatives
• Understanding of prepayment model and its role in MBS valuation
• Strong analytical skills required to understand quantitative models
• Strong project, management and organizational skills
• Strong writing and presentation skills
• Proficient programming skills in python and database expertise
• Ability to manage and analyze large data sets
• Experience with PolyPaths software strongly preferred
• Ability to communicate effectively with managers that may not have quantitative backgrounds.

The expected base salary ranges from $137,500 - $185,000. Salary offers are based on a wide range of factors including relevant skills, training, experience, education, and, where applicable, certifications and licenses obtained. Market and organizational factors are also considered. In addition to salary and a generous employee benefits package, including Medical, Dental and 401K plans, successful candidates are also eligible to receive a discretionary bonus.