Mortgage-Backed Security Risk Analytics Officer - Veterans Sourcing Group : Job Details

Position overview

Support Lead mortgage officer as Mortgage-Backed Security Risk Analytics Officer for the bank's mortgage asset partnership (MAP) program. Manage the monthly processes related to MAP product: review of inputs, assumptions, validation of results, reporting and recalibration of models. Support activities and projects as assigned by the Director or Senior Manager Other assigned tasks may include risk projects in investment portfolio, member collateral, member indebtedness, credit modeling and counterparty credit risk.

Position Description

• Provide monthly/quarterly risk analysis and reports for MAP and MPF portfolio.

• Provide analytical support for the models in production as well as work with Model Validators and the FHFA to obtain approval for use of the models.

• Work with vendors and manage mortgage credit risk models along with corresponding databases across the organization. Participate in development, execution, and management of such credit models and databases.

• Development and enhancement of methodologies and models for estimating credit risk parameters of the Bank's mortgage portfolios(Probability of Default, Loss Given Default and Exposure at Default) for members, instruments.

• Design and implementation of new risk models using R, Python, Excel, etc.

• Participate in enhancements of a data management platform to address aspects of data integration, data quality, and centralized data management as it relates to the Banks mortgage credit risk models.

• Identify risks and deficiencies to ensure model enhancements are consistent with internal and external requirements.

• Work with Financial Risk Management and Credit Risk Analytics group and business to design, prototype, and implement enhancements to the existing risk models. Inclusive of writing technical specifications and coordinate with IT on implementation of models

• Submission of all mortgage credit model changes, ongoing model performance monitoring, annual calibrations, model and software patches/enhancements consistent with FRM&CRA model validation process.

• Provide responses for model, and exam remediations and regulatory initiatives as related to mortgage (AMA, RMBS, CMBS) credit risk models.

• Participate in maintaining a professional risk control environment that conducted within risk limits, processes, and standards that are set for regulatory and operational risks of the Bank and as reviewed by the Management Committees/Auditors/Examiners.

• Maintain all credit risk model documentation and desktop procedures consistent with FRM&CRA governance.

• Collaboration with all members of FRM&CRA, Credit Risk Management, Model Risk Management, Financial Accounting and Risk Technology teams and member of the Credit Collateral Risk Committee.

Required Experience

• 10+ plus years of risk or modelling experience with expertise in whole loan credit, mortgage-backed securities and related products.

• Experience with other structured products, such as CMBS and ABS a plus.

• Experience in development and enhancement of methodologies and models for estimating credit risk parameters (Probability of Default, Loss Given Default and Exposure At Default)

• Experience in analyzing counterparty, structured product and mortgage and credit risk.

• Experience working with vendor based credit models and data tools primarily Moody's MPA (Mortgage Portfolio Analyzer). Knowledge of risk management, trading systems used for Interest Rate, Credit and Structured Products, i.e.: PolyPaths, Black Knight, Intex, CoreLogic Risk Model etc.

• Broad-based knowledge of the credit analysis and monitoring process.

Technical

• Ability to run mortgage modelling systems including PolyPaths, Moody's MPA, Black Knight AFT

• Advanced Microsoft Office suite (Excel, PowerPoint and Word).

• Strong programming skills, such as Python, Excel/VBA/COM and C/C++. Statistical programming in R/S+, advanced SQL and Snowflake data base querying.

• Functioning knowledge of SAP BI (WEBI), Qlik Sense a plus.

Addition Business and Technical skills

• Ability to use quantitative as well as qualitative analysis and modeling techniques to identify, assess and respond appropriately to risk exposures and emerging issues

• Strong Whole Loan/MBS and cash flow modeling skills, including use of analytic software.

• Experience in computational methodologies, interest rate and credit cash flow modelling, Monte Carlo simulations and understanding of stochastic calculus, stochastic processes, and interest rate derivatives valuation.

• Strong qualitative and analytical skills, including an understanding of the mortgage origination and securitization processes and a complete understanding of secondary market mechanics.

• Understanding of the mortgage, structured finance, and financial services industry.

• Develop forecasting models, credit, time series, and cashflow models Understanding of financial statement analysis and accounting concepts.

• Ability to independently review and identify related risks of vendor-based mortgage models and internally developed end-user computing tools, department developed/supported applications, synthesize the corresponding risks and controls and recommend adjustments.

• Analyze mortgage collateral and counterparty credit risk as well as the underlying risk in structured finance products, especially in the mortgage industry.

• Strong project management skills with the ability to prioritize, take initiative and self-manage time, management of internal and external stakeholders' time, and capacity to conduct multiple project and management deliverables simultaneously.

Interpersonal sills

• Strong written and oral communication and inter-personal skills. Excellent analytical skills and ability to comfortably interact across all departments, management and staff within the organization.

• Planning and organizational skills to successfully manage multiple deliverables/projects concurrently by demonstrating flexibility in prioritizing and completing tasks.

• Ability to complete assignments and projects under tight deadlines and adjust seamlessly to changing deliverables and competing priorities.