VP, Securitized Products (MSRs) Market Risk
A leading Investment Bank located here in NYC is looking to hire a VP level candidate to their Market Risk team to help cover their brand new Securitized Products trading business focusing on mortgage origination, whole loans, MSRs, and TBAs.
This bank is building out their Securitized Products trading business in the US and are looking to hire their first Market Risk manager to help shape the new risk framework. This is a high visibility role reporting directly into the US Head of Market Risk and will be responsible for working with traders to set up risk limits, approve large trades, and communicate changes in VaR and other risk metrics.
Ideal candidates will have a minimum of 3+ years of experience in Market Risk with experience covering the Securitized Products business and have in depth knowledge on mortgage and structured products markets.
Responsibilities:
- Engage directly with traders to explain daily changes and drivers in VaR and P&L
- Develop a brand new risk framework for Securitized Products from scratch with a particular focus on setting up a new business for mortgage origination, whole loan, and MSR trading
- Work closely with traders to assess and monitor limit breaches
- Work with engineering, model risk, and market risk analytics on developing new market risk models for the US Securitized Products trading business
- Develop and enhance portfolio risk analysis and stress testing
- Conduct ad-hoc analysis on changes within the portfolio and report them to traders and senior management
Qualifications:
- 3+ years in a Market Risk Function covering securitized products
- Prior experience working with Securitized Products CMO, MBS, MSR, TBA, and relevant hedge products - treasuries, swaps, swaptions, etc.
- Strong understanding of basic market risk principles - VaR, Stress Testing, Scenario Design, Risk Frameworks, and risk sensitivities
- Excellent communication skills and ability to work in a front office environment
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