Analyze and monitor market risk associated with Structured Products (Agency and Non-Agency MBS, CMBS and ABS) originated and distributed in the Global Mortgages and Securitized Products platform. Think holistically to manage all risk types in the business. Be intellectually curious, and probe deeper into risks and mitigants to ensure that we fully understand the tail risks. Ability to adapt to constant changes in the business / regulatory environment, and be able to navigate through large change programs.
Required Job Skills
The ideal candidate will have at least 5 years of experience in a quantitative or analytical role, preferably with a focus on risk management or trading of structured products. Market knowledge is required, with an ability to easily attribute market changes to PnL within trading books. Must have experience with and be familiar with Value-at-Risk (VaR) methodologies and/or use of model analytics (mortgage prepayment and credit risk models) to measure risk. Additionally, a candidate must be able to evaluate model performance, and be capable of utilizing tools to run stress scenarios. Familiarity with capital rules and standard / advanced RWA approaches would be useful. Strong communication and interpersonal skills are required, with an ability to understand and explain complicated concepts concisely. Must have acute attention to detail.
A preferred candidate should have experience with regulatory landscape in the Banking Industry. Familiarity with Bloomberg, Intex, Python, and SQL is useful, though not required.
Shift:1st shift (United States of America)
Hours Per Week:40
Learn more about this role
Located in midtown Manhattan, we’re right across from Bryant Park and a short walk to Times Square, Broadway theaters, Grand Central Station, excellent shops and world-class restaurants.