Market Risk Analyst - Non-Agency Mortgages / Jumbo Whole Loans

the Client•New York, NY

4d•Hybrid

About The Position

This is an Intermediate Market Risk Analyst role with experience in second line oversight of market risk in non-agency Mortgages / Jumbo whole loans securitization businesses. The main function of a risk analyst is to identify, assess, and report on market risks that could impact business operations or objectives. This role acts as a subject matter expert, delivering guidance on complex market risk issues and supporting strategic initiatives across the organization, and is responsible for conducting risk assessments, analyzing risk data, and recommending mitigation strategies.

Requirements

2–4 years of relevant experience in market risk management, financial risk, or related fields.
Knowledge of Market Risk assessment and management frameworks.
Experience with risk modeling tools and methodologies.
Effective written and verbal communication skills.
Strong analytical and problem-solving skills.
Attention to detail and accuracy in risk analysis.
Ability to work independently and as part of a team.
Experience with Polypaths ALM system.
Familiarity with securitizing non-agency MBS and experience with non-agency mortgages and MBS products.
Some modeling familiarity.
Bachelor's degree in Finance, Economics, or related field required.
2–4 years of relevant experience in market risk management, financial risk, or related fields.

Nice To Haves

Demonstrated experience with U.S. non-agency MBS, structured credit products, or securitized assets.
CFA or FRM designation.
Python.
Demonstrated experience with U.S. non-agency MBS, structured credit products, or securitized assets.

Responsibilities

On-board valuation models and data sources for Jumbo Whole loans and securitization of non-agency MBS.
Validate risk results, enhance the risk factor coverage, risk metrics generation, stress scenarios definition.
Maintain a strong culture of risk management and control, supported by effective processes aligned with the enterprise risk appetite.
Analyze daily market risk positions through quantitative and qualitative risk assessments, validate accuracy of reporting, and provide high quality insights and recommendations and present findings to management.
Develop, implement, and maintain standards, policies, and processes to identify, measure, report, and mitigate market risk exposures.
Perform in depth risk analysis on U.S. non-agency MBS and related products, including exposure monitoring, sensitivity analysis, and performance drivers (e.g., spread risk, optionality, prepayment and credit dynamics).
Proactively identify emerging risks, aggregate key exposures, and escalate material issues to appropriate governance forums.
Support business partners with risk analysis and reporting, including scenario analysis and stress testing across market environments.
Contribute to enterprise wide risk escalation, review, approval, and assessment processes.
Apply a strong understanding of the firm's risk appetite, including statistical analysis and development of consistent risk measurement methodologies.
Continuously monitor and assess risk trends, concentrations, and vulnerabilities across portfolios.
Engage with stakeholders to enhance understanding of market risk, particularly as it relates to structured products and non-agency MBS.
Assist in the maintenance and improvement of risk management policies.