Market Risk Manager with MBS experience (closed)

New York, NY
$90k - $120k compensation
Recruiter Comment: Exceptional Market Risk individual needed with solid MBS experience for this premier Financial Services leader!
Job Description


 NYC Financial Services firm seeks 3-5 yrs experience in Market Risk or Quantitative Risk Analytics and exposure to various trading products such as MBS, derivatives etc. Experience in developing risk models (VaR, back test, stress test, etc) and margining tools is a +

The MBSD Product Risk division is responsible for assessing and managing financial risks.  They provide specialized services to clients active in various (GNMA), Federal Home Loan Mortgage Corporation and Fannie Mae MBS programs.  The MBSD Risk division must mitigate risks stemming from both market and credit influences via the application of margining methodologies, practices and the proactive assessment of MBSD's products.

Position Summary:

Under supervision, manage market risk analytics on TBA, Specified Pool Trade (SPT), Mortgage Derivatives and other fixed income securities as assigned.  Support monitoring of market risk exposure.

Principal Responsibilities:

  • Review quantitative studies and tests to determine member specific and overall MBSD impact
  • Execute the plan for implementation of new margining methodologies and enhancements of existing methodologies, including preparation of test scripts and testing, preparation of business requirements, progress memos, etc.
  • Assess margin model performance and initiate actions to mitigate shortfalls
  • Performs development initiatives for the moderately complex projects 
  • Provides support for the preparation of written responses to audit and regulatory reports
  • Interacts with auditors and regulators during examinations
  • Proactively identifies own development needs
  • Perform day to day functions such as researching significant increases in margin requirements, tracking trading patterns, liquidity usage, etc.


  • 3+ years of market risk management or quantitative risk analytics, and exposure to various trading products (e.g. TBA, SPT, derivatives, etc.).  Experience in developing risk models (e.g. VaR, back test, stress test, etc.) and margining tools is a plus.

Required Knowledge & Skills:

  • Good knowledge of particular products, MBS etc 
  • Strong knowledge of Risk Metrics (VaR, Duration, Convexity, Volatility, etc.) 
  • Strong knowledge of quantitative models such as VaR, Prepayment, Term Structure Model implementation and applicants 
  • Strong analytical, modeling, problem-solving and decision-making skills 
  • Strong Excel, VBA, C++, SQL skills 


Bachelor’s degree in Accounting, Finance, Business, or Economics.  Master’s degree in quantitative discipline (e.g. Finance, Financial Engineering, Economics, Statistics) is preferred

Please send resume as a word attachment to with the title MBS Risk Associate Manager in the subject line

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