Senior Model Risk Manager
- Senior Model Risk Manager
- Primary Location
- New York
- Bachelor's Degree
- Rate Type
- Per month
- Job Description
Our client, a large investment bank is looking for a Senior Model Analyst. This is a 1-2 year role.
This is a consultative and hands-on role working on LIBOR transition activities in collaboration with members of the quantitative portfolio management strategy organization. This role also requires the competency to work independently in completing the highest complexity quantitatively oriented analytical assignments, research analyses, model validation exercises, and studies towards LIBOR transition and the adoption of alternative reference rates.
This role will be interfacing with senior internal investment and trading personnel of the organization as well as the management team of the LIBOR program. The candidate must be able to demonstrate subject matter expertise on investment systems and software tools, including Bloomberg, QRM, and Blackrock’s Aladdin. Towards the LIBOR transition the candidate will assist with identifying, implementing, and validating the necessary remediation activities for the adoption of alternative reference rates, including SOFR, in the context of how these tools are used as well as internal reporting capabilities that evaluate and measure portfolio duration, convexity, spread risk trends, and cross asset spread relationships, i.e., for asset allocation decision-making.
A strong background in fixed income trading or portfolio management especially with RMBS and their related prepayment models and analytics would be desirable for this role. Must have a thorough understanding of the various aspects of structured-finance portfolio analysis, including that which involves prepayment speeds, how altered prepayment speeds and curves affect RMBS deal performance projections, and how RMBS deal performance projections will also be affected by changes relating to LIBOR transition to alternative reference rates.
The candidate will also assist with project activities for defining and leading the development for automating data accumulation analyses and related reporting in support of the organization’s use of alternative reference rates. Experience in change management and performing full lifecycle project work in collaboration with internal stakeholders and vendor providers is also required.#LI-CE1
- Job Requirements
- At least 5 years of relevant experience.
- Strong knowledge around the Libor transition.
- Background/knowledge in Fixed Income products and asset backed securities.
- Prior experience with RMBS (some CMBS also ideal) essential.
- Prior experience with systems such as Bloomberg, QRM, Alladdin, Trepp (Alladin crucial, Trepp nice to have)
- Prior experience using Intex or other cash flow models.
- Understanding of prepayment models and the impact on a RMBS portfolio.
- Knowledge of PSA prepayment model and CPRs.
- Prior experience seeing a project to completion preferred.
- Prior experience with model risk validation preferred.
- Team player.
Prospect 33 is an equal opportunity employer.