Market Risk Management Consultant - Fixed Income

In this role, you will be responsible for portfolio analytics for large mortgage securities and whole loan portfolios. You will be assisting Capital Markets Risk Management organizations to analyze the performance of their portfolio risk analytic systems, and you will be assisting in identifying and evaluating improvements and enhancements to risk management systems.

You will bring your experience in risk management of mortgage portfolios to ensure that mortgage assets are appropriately modeled, and that risk metrics are accurate and well understood by Risk Management, Capital Markets, Finance, and Technology organizations.

You will be working on some of the country's largest mortgage portfolios.

Required:

• Lead analysis of market risk for a large MBS portfolio
• Understand models that drive market risk (primarily, prepayment and interest rate)
• Execute market risk models, perform exhaustive, detailed analysis of input data and outputs
• Expert knowledge of the primary input variables for mortgage loans
• Expert knowledge of how those input variables drive changes in duration and convexity
• Strong written and verbal communication skills to be able to communicate results of analysis

Nice to have:

• Exposure to agency RMBS trading, RMBS valuation
• Previous support of a mortgage desk
• Knowledge of the whole loan conduit business – how mortgage loans are originated by the large banks and sold to the GSEs – how market risk analytics are performed and managed during the conduit process.