DESCRIPTION:
Duties: Perform pre-trade governance and market analysis, monitor stress and risk sensitivities, produce ad hoc quantitative analysis for the Agency Mortgage-backed securities. Produce ad hoc quantitative and qualitative analysis on Agency Mortgage-backed securities portfolios for senior management. Perform end-to-end coverage for the Firm’s regulatory CCAR submissions relevant to the agency MBS portfolio, including execution of stress testing methodology, analysis of market risk drivers and communication of results to senior management. Synthesize top-of-mind research topics relevant to the investment portfolios into analysis and special reports; stay up to date with market changes and analyze its impact to the portfolios. Evaluate and implement updates to financial models used in market risk management, including challenges to proposed methodology, performing impact assessments, and coordinating model implementation timelines. Perform review of business processes within CTC Market Risk and implement enhancements and automation to enhance capabilities and streamline infrastructure. Coordinate with technology teams, model developers and business management to manage CTC Risk team requirements in modeling & technology platform migrations. Telecommuting permitted up to 40% of the week.
QUALIFICATIONS:
Minimum education and experience required: Master’s degree in Information Systems, Finance, Quantitative Finance, Mathematics, Financial Engineering, Financial Mathematics, or related field of study plus two years of experience in the job offered or as a Vice President Market Risk Coverage Lead, Quantitative Risk Management VP, or related occupation.
Skills Required: Requires experience with the following: Python; SQL; Regression Testing and Data Analysis; Quantitative Risk Management; Fixed Income and Securitized Product Analysis; Cashflow Modeling; Market Value Projection; Value-at-Risk Modeling; and Stress Testing.
Job Location: 277 Park Avenue, New York, NY 10172. Telecommuting permitted up to 40% of the week.
Full-Time. Salary: $142,000 - $215,000 per year.