Buy Side Market Risk Manager - Non-Agency RMBS
Buy Side Market Risk Manager - Non-Agency RMBS
A leading diversified capital manager specialized in mortgage finance is seeking talent for their Market Risk team. This buy-side firm actively invests in Agency MBS also engaging in non-agency residential whole loans, CMBS, MSRs, and other assets. They are a Real Estate Investment Trust, not subjected to federal income tax, allowing them to focus on generating stable returns. The firm covers both agency and non-agency assets and has a significant presence in the mortgage finance market.
The role:
Market Risk (Mid-Senior Level/VP) covering non-agency RMBS
- Manage market riskforsecuritized products, with a focus in non-agencyRMBS
- Residential credit securities and whole loans
- Develop new methodologies for managing market risk with exposure primarily to Residential Credit, with a secondary focus on other ABS and CMBS securitized products
- Conduct research focused on bringing in new business with the trade desk - assessing risk of potential new clients/partners
- Use Polypaths to value Residential Mortgage risk
- Conduct quantitative analysis, product risk measurements/analytics, VaR, and stress testing
Qualifications:
- 7-10 years of market risk management experience in securitized products with a focus and/or direct significant exposure to non-agency RMBS
- MarketRiskSecuritized Products experience: non-agencyRMBS (residential credit, whole loans)
- Exposure/coverage in ABS, CMBS
- Direct experience/familiarity with stress testing, MBS prepayment and loss modeling
- Experience in Bloomberg, PolyPaths, Intex, or other fixed income analytics system
Eligibility Requirements:
- Must have unrestricted work authorization to work in the United States - no visa sponsorship, or transfer will be offered
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