Lead Collateral Risk Modeling Analyst - Veterans Sourcing Group

Lead Collateral Risk Modeling Analyst

Jersey City (Hybrid)

Team Overview

Collateral Valuations is a functional team within Collateral Risk Management. Responsibilities include mortgage valuation, model and methodology development/management, monitoring performance and market risks for eligible collateral types. Provide Senior Management and Committee(s) support and recommendation to make collateral decisions.

Role Overview

Support Collateral Risk Management by developing and automating collateral models to support stress testing and performance monitoring of securities (i.e. US Treasury, Agency, Private Label, etc.) and residential and income producing mortgages (Multifamily and CRE) pledged.

Responsibilities

• Modeling & Methodology Development: Develop and apply statistical, qualitative and/or quantitative techniques and to support use of margins, market inputs and assumptions used in the Collateral Lendable Value modeling and methodology.

• Automate Processes: Design, enhance and optimize automation codes to improve lendable value modeling processes.

• Develop Data Driven Recommendations: Develop observations and recommendations related to various Collateral Valuations initiatives. Present to senior management, Model Risk Committee and Credit and Collateral Risk Committee.

• Provide Collateral Risk Related Guidance: Coordinate and provide guidance to project team members for assigned projects. May have occasional oversight of Collateral Valuations Analysts.

• Perform Stress Testing and Performance Monitoring for both mortgage and securities collateral based on their established frequencies.

• Review Valuations Results: Review residential and income-producing whole loan pricing results to ensure the mortgage valuation process is completed on a timely basis and results are reasonable and in accordance with the current market environment.

• Provide backup support to mortgage pricing process for both residential and income producing loans on a regular basis by providing guidance to fellow analysts, working with mortgage vendors and Model Risk Management.

• Provide Analytical Support: Research, design, and prepare detailed and analytically supported assessments related to all aspects of collateral eligibility, collateral valuation, current market analysis, VaR analysis, stress testing of data, model performance and strategic related initiatives.

• Collateral Assessments: Prepare and present detailed data supported analysis of new collateral types for eligibility consideration for the purposes of Senior Management and/or Credit Risk Committee review.

• Collateral Risk Management Initiatives: Prepare and present materials outside of routinely scheduled Credit& Collateral Risk Committee and Model Risk Committee items. These targeted special interest features are Collateral Valuation related topics that call for additional analysis / surveillance based on market, regulatory and other changes, and events.

• Subject matter expert: for Internal and External Audit, Model Risk Management on validation of Lendable Value methodology (i.e. – Pricing, Lendable Value Assessments, etc.), and FHFA Examiners.

Skills & Experience

• Strong analytical (quantitative, qualitative, statistical) and research skills

• Advanced Python coding skills required with the ability to provide clear explanations to users, management and peers.

• Well versed in model development, maintenance and documentation

• Possess 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.

• Ability to problem solve & execute solutions

• Ability to provide recommendations and conclusions based on research and analysis.

• Highly disciplined, with the ability to work with limited supervision and make informed decisions.

• Eagerness to learn new concepts, collateral types and improve processes.

Technical

• Expert skills in Python, Microsoft Office (Excel, PowerPoint and Word), with functioning knowledge of SAP BI (WEBI)

• Advanced database management and SQL querying skills (i.e., data mapping and process flow mapping, data query creation)

• Proven ability to automate processes using Python.

• Proficient with Industry Data Sources (i.e. – NRSROs, Bloomberg, S&P Global Market Intelligence). Knowledge in Moody's CMM a plus.

• In-depth knowledge of securities pricing (i.e. - U.S. Treasury, Agency, Private Label Mortgage-Backed Securities, and Municipal Bonds), security index OAS mappings and stress testing.

• In-depth knowledge of mortgage data concepts, credit and interest rate risk attributes, processes applied in the valuation of whole loan mortgage collateral.