AVP Quantitative Mortgage Risk Analyst #99877
An AVP of Quantitative Mortgage Risk Analyst is needed for a direct-hire position in Pasadena, CA! This position is willing to pay up to $100,000K for the right applicant!
Our client company is a bank that offers financial services to their dedicated, national customers to help with all their business and personal needs. Balance sheet experience with consumer loans, commercial loans, residential and commercial mortgages, and mortgage backed securities. Experience with deposit behavioral modeling and prepayments are desirable.
Responsibilities of the AVP Quantitative Risk Analyst include:
- Communicating with internal stakeholders and managing the mortgage payment model; the Quantitative Mortgage Risk Analyst will interface with internal clients and focus on a variety of challenging projects. Internal stakeholders consist of teams focused on asset/liability management (ALM), stress testing, risk measurement, and valuation.
- Manage mortgage prepayment model and deliver to the Asset Liability Management team.
- Monitor model performance
- Propose and support model changes
- Work with other teams to facilitate periodic model validation
- Assist business unit stakeholders in leveraging model capabilities for forecasting and analytical purposes
- Support the monthly Interest Rate Risk (IRR) process associated with Economic Value of Equity (EVE) and Earnings at Risk (EaR), using Quantitative Risk Management (QRM) system
- Contribute to the continued enhancements of various modeling approaches currently used in QRM across assets and liabilities
- Provide analytical support to management in crafting strategies associated with balance sheet and liquidity optimization, and hedging decisions
- Participate in various on-going internal projects such as Funds Transfer Pricing (FTP)
Perks of Working with Our Client Company (for full-time employees):
- Tuition reimbursement
- Career growth opportunities
- Flexible schedule and generous Paid Time Off
- Comprehensive Medical and Flexible insurance options
- 401K plan
- And more!
- Bachleor's Degree in Economics, Financial Engineering, Statistics, or Mathematics (Advanced degree preferred)
- 2+ years of experience using advanced quantitative analysis and applied statistical techniques in relevant asset/liability categories, including regression, time series forecasting, economic models, data mining, survival analysis, prepayment modeling, sensitivity, back-testing, performance measurement
- 2+ years financial services experience with a preference for skills acquired in a function responsible for ALM, CCAR/DFAST stress testing, capital management, risk management, dynamic balance sheet/ income statement forecasting, loan or bond pricing
- Demonstrated ability in developing and managing sophisticated financial models and performing ad hoc analysis to support risk, valuation, pricing, and capital decisions in relevant asset/liability categories
- Experience with QRM and prepayment models (such as AFT or ADCO) highly preferred
- Strong quantitative and programming abilities (Excel/VBA, SQL, R, Python, Java, C, C++, C#, etc.)
- Excellent organizational and communication skills
Contemporary Staffing Solutions (CSS) is a company that exudes unwavering results with urgency, honesty and integrity. CSS has been a leading provider of contract, temporary, temporary-hire & direct hire solutions. We began as a staffing agency and evolved to a national provider of workforce management solutions with a niche recruitment focus in Accounting & Finance, Call Center & Office, Human Resources, Sales & Marketing, Information Technology, Salesforce We respect our clients and candidates equally while keeping the client’s best interest in mind. Everyone at CSS operates with pro-active pipelines and with the highest business ethics, a winning spirit in our approach, a team-oriented work flow, with real cross training. The CSS team coaches you with current business intelligence so that we can manage your expectations. It’s what makes CSS great and, most importantly, FUN to work with!