Modeling Analyst - A.C. Coy
Pittsburgh, PA 15219
About the Job
Overview:
Location: Hybrid - Pittsburgh, PA (2 days onsite, 3 remote)
Job Type: Direct Hire
Work Authorization: No C2C or Sponsorship
The A.C.Coy company has an immediate opening for a Modeling Analyst. Ideal candidates will have a minimum of 7 years' experience in Market Risk analysis, Collateral Valuation, ALM, or Model and solid understanding of fixed income and derivative markets including valuation and risk.
Responsibilities:
- Support market risk measurement and reporting function my maintaining tools for the Market Risk department's analytical system
- Integrate and test third-party prepayment and default models, deal structuring libraries, and term structure models
- Create operational workflows and draw conclusions for various use cases of valuation and risk models
- Lead the implementation and testing of new valuation and simulation models and upgrades
- Identify, research, and address modeling issues
- Perform back testing, benchmarking, and sensitivity analysis
- Train and mentor junior analysts within Market Risk, Capital Markets, and COR Departments
Education Required
- Bachelor's degree in finance, statistics, mathematics, or related field
- CFA, PRM, FRM, or CQF preferred
Experience Required
- 7+ years in Market Risk Management, Collateral Valuation, ALM, or Model
- Solid understanding of fixed income and derivative markets including valuation and risk
- Understanding of prepay and default models for residential mortgage loans (both single and multi-family)
- Familiarity with financial accounting concepts such as ASC326, ASC815, ASC820
- Programing skills in: VBA, MATLAB, SAS, Python or SQL
- 3+ years' experience using tools to manipulate data, perform analytics, or automate processes
- Direct & recent experience with PolyPaths, QRM, Empyrean or other dedicated trading and risk platform
- Experience with Bloomberg Terminal, Bloomberg Data License, or other Tier 1 provider of market data, reference, data, and security indicatives
Source : A.C. Coy