Model Risk Analyst II with mortgage experience

About the positionResponsibilities• Support the development of the Bank's model inventory and execution of the model validation schedule• Design and conduct test plans, stress tests and scenario analyses to confirm the validity of model calculations and sensitivity to changes in model inputs• Analyze the reasonableness of model methodologies in comparison to standard industry approaches and accepted financial theory• Validate underlying assumptions in relation to standard industry practice, historical experience, and market trends• Develop and maintain technical and model validation documentation describing mathematical models, underlying data and assumptions, and validity of results• Create software used for model validation purposes• Procure, as applicable, vendor and model owner validation and/or quality assurance results as well as external indicators of model output validity• Prepare ad hoc and/or formalized modeling analysis of transaction level risk exposure including, but not limited to, hedge effectiveness, counterparty and collateral sufficiency, and pro forma asset and liability transactions• Provide critical analysis of modeling results and processes for the purposes of internal validation and explaining model risk to model owners and management when necessary• Provide testing and critical analysis of model controls and documentation for purposes of internal validation and assessing the Bank's model risk exposure• Submit all reports requested by the appropriate external and internal parties on a timely basis, in the appropriate format, in consultation with, and after review by, Director Model Validation• Provide quantitative and analytical support to senior analysts and functional management• Monitor, track and support the resolution of model validation recommendations and issues• Research and monitor the evolution of standard industry practice with respect to assigned types of financial models• Other duties, as assignedRequirements• Solid knowledge and understanding of fixed income principles and instruments, including mortgage-backed securities, interest rate derivatives, prepayment projection, credit loss models and stress testing• Solid knowledge of statistics and mathematics must be demonstrated with a working knowledge of risk management practices• Knowledge of finance and accounting principles• Must be able to work both independently and as part of a team• Proficient in the use of MS/VBA, SQL queries, and MATLAB, R or Python for financial reporting, analysis, and graphing• Proficient in the use of MS/Word for model validation report writingNice-to-haves• Advanced degree in a quantitative discipline or CFA is a plus• Experience with at least one of the following: Bloomberg, Yield Book, Principia, IntexDesktop, S&P LEVELS, Moody's Portfolio Analyzer, Loan Performance Risk Model, MATLAB, PolyPaths will be a plusBenefits• Opportunities for career development• Robust benefits• Work-life balance Apply tot his job