3 дня назад
Manager, Risk Analytics/Modeling
100 000 - 140 000$
Мэтч & Сопровод
Для мэтча с этой вакансией нужен Plus
Описание вакансии
Текст:
TL;DR
Manager, Risk Analytics/Modeling (Fixed-Income and Mortgage Risk): Developing, monitoring, testing, and enhancing models and analytics for forecasting, market risk measurement, capital stress testing, and balance sheet strategy with an accent on mortgage prepayment behavior, fixed-income optionality, and option-adjusted spreads. Focus on backtesting, benchmarking, model tuning, controlled model documentation, and communicating risk drivers across Treasury, Finance, Investments, and Risk.
Location: On-site in Westlake, TX; Southlake, TX; or Lone Tree, CO
Salary: USD $100,000–$140,000 per year, plus bonus or incentive opportunities
Company
is a financial services company developing tools and capabilities across investing, treasury, risk, and capital management.
What you will do
- Execute, monitor, test, and enhance AD&Co models and related analytics for agency and non-agency mortgage products.
- Support modeling of prepayment behavior, credit performance, asset-backed securities, option-adjusted spreads, fair value, income, and capital stress scenarios.
- Evaluate model performance, investigate changes in results, and conduct backtesting and benchmarking.
- Strengthen model documentation, controls, evidence retention, and issue remediation.
- Communicate model results, key drivers, production status, and emerging risks across Treasury, Finance, Investments, Risk, Capital Planning, and Model Risk Oversight.
Requirements
- Bachelor’s degree in applied mathematics, engineering, finance, economics, statistics, computer science, or a related quantitative discipline.
- 3+ years of relevant experience, or an equivalent combination of professional experience and graduate study, in banking, balance sheet management, asset liability management, market risk, or capital stress testing.
- Experience with in-house or third-party prepayment models, including AD&Co or a comparable platform.
- Knowledge of fixed-income modeling, duration, optionality, option-adjusted spreads, accumulated other comprehensive income, sensitivity analysis, and scenario-based risk analysis.
- Knowledge of mortgage prepayment behavior, including refinance incentives, burnout, turnover, seasonality, and borrower credit characteristics.
- Experience with Python, SQL, Microsoft Excel, feature selection, backtesting, performance monitoring, benchmarking, or model tuning.
Nice to have
- Advanced degree in a quantitative or technical discipline.
- CFA, FRM, PRM, or a comparable professional designation.
- Experience with capital stress testing, model validation, regulatory or internal audits, issue remediation, and audit readiness.
- Experience supporting models for asset-backed securities, structured finance, spreads, fair value, income, or accumulated other comprehensive income.
- Experience establishing model controls and communicating complex analytical results to technical and nontechnical stakeholders.
Culture & Benefits
- In-office collaboration is emphasized, with regular in-person work required for this role.
- 401(k) with company match and employee stock purchase plan.
- Paid vacation, volunteering time, and a 28-day sabbatical after five years for eligible positions.
- Paid parental leave, adoption and family-building benefits.
- Medical, dental, vision, and tuition reimbursement benefits.
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