Market Risk Associate
Duties: Responsible for market risk analysis and review of the Mortgage Servicing Rights (MSRs) Hedging portfolio. Produce bespoke analytics and apply research topics to investment portfolios, pre-trade investment reviews, and limit updates. Drive technology initiatives to enhance capabilities and streamline infrastructure. Contribute to risk business processes such as ensuring the accuracy of risk capture and stress results. Collaborate with quantitative teams such as Quantitative Research (QR) and Model Risk Governance & Review (MRGR) on model outputs and model implementation. Run Monte Carlo simulations and validate results for daily risk and forecast scenarios. Contribute to CTC Risk standards and best practices by collaborating with other risk groups such as structural interest rate risk, credit risk, liquidity risk, and operational risk. Present pertinent securitized products topics to CTC Risk colleagues and senior risk management. Minimum education and experience required: This position requires a Master's degree in Analytical Finance, Mathematics, Financial Engineering, or related field of study plus three (3) years of experience in the job offered or three (3) years of experience as a Financial Analyst or related occupation.
Skills Required: This position requires three (3) years of experience with each of the following skills: Performing market risk analysis for Mortgage Servicing Rights (MSRs), interest rate products, and mortgage products; Mortgage Market and Mortgage Servicing Rights (MSRs); MSR cash flow modeling, including prepayment modeling, credit modeling, and mortgage servicing assumptions; Interest rate products and mortgage products; Consolidating data and performing market risk calculations using advanced Microsoft Excel and Visual Basic for Applications (VBA); Monte Carlo simulations; Statistical analysis; and SQL/Access database.