Location: Washington D.C. area
Compensation: Commensurate with Experience
Summary: The incumbent produces mortgage loan interest rate risk, hedging, and income forecasting information for the mortgage pipeline, portfolio whole loans and mortgage servicing rights portfolios using the QRM Framework and/or other sophisticated valuation software. The incumbent models, assesses, and tracks mortgage loan and MSR portfolio risk from all applicable dimensions. Relies on experience and judgment to communicate salient risk factors and portfolio performance to senior management.
- Prepares accurate and timely mortgage loan and mortgage servicing rights (MSR) valuations, hedging, and income forecasting measurements, projections, and risk statistics using sophisticated valuation software.
- Participates in the development of reports and analyses that focus management’s attention on the most significant elements of the mortgage pipeline (closed loans and rate locks), hedging strategies and vehicles, and changes in the market value of the mortgage servicing rights portfolio; analyzes corporate income and hedge performance against objectives and limits.
- Participates in the data and assumption loading, reconciliation, and validation processes in QRM or other models used in support of the interest rate risk and income forecasting functions of the credit union.
- Uses analytical tracking methods to benchmark and validate model assumptions and output including market prices, mortgage prepayment modeling, fallout, volatility modeling, forecasted product rate and volume mix, and MSR discount rate and revenue/cost functions.
- Develops sophisticated analytical methods for the purpose of analyzing such elements as new product pricing and risk relationships, vintage/cohort product performance, mortgage loan purchase/sale opportunities, and the impact from other regulatory/compliance policy changes. Helps formulate product strategy recommendations for Senior Management and the Board of Directors.
- Leads departmental projects as requested by management. Coordinates with senior management, middle managers and supervisors in all functional areas of the credit union in the accomplishment of assigned duties. Interacts with internal and external Auditors and Examiners.
- Delivers oral and/or written briefings and reports to department managers, Senior Management, the Asset Liability Management Committee, the Financial Management Committee, and/or the Board of Directors related to the interest rate risk, hedging, and income forecasting results of the credit union’s mortgage-related assets.
- Maintains a broad knowledge of the US residential mortgage market including mortgage-backed securities and other fixed income instruments, GSE loan purchase and secondary marketing activities, interest rate derivatives (e.g. swaps, caps, etc.), option pricing theory, mortgage prepayment modeling and interest rate risk measurement concepts such as duration, convexity, vega, basis risk, etc.
- 5-7 years work experience in a financial institution using sophisticated asset/liability management, valuation, or derivative pricing models that forecast uncertain cash flows for risk measurement.
- QRM Balance Sheet Management, Mortgage Banking, or Mortgage Servicing system experience preferred.
- Advanced degree in finance, economics, mathematics, or another quantitative discipline and experience that provides the necessary skills and knowledge to satisfactorily perform the essential job functions.
- MBA/CFA professional certification preferred.
- Proven project management skills
- Ability to multi-task
- Excellent interpersonal, oral and written communication and organizational skills required
- Ability to condense highly technical subject matter into clear and effective communications to senior management
If interested, email your resume as an MS Word attachment to
BCI - Financial Services Recruiting