Mortgage Risk & Analytics Analyst

Truist Bank • Richmond, VA

4d

About The Position

Manage and drive construction, implementation, and maintenance of highly complex Risk Management, Risk Reporting, Pricing, Securitization, and Market Analytics solutions and tools for the Mortgage Trading Manager. Liaise and collaborate with various risk, profitability, and channel partners in order to optimize and expand Hedge Team capabilities and increase Post Lock revenue. May be responsible for neutralizing market and liquidity related risks on a Risk Position while minimizing the associated hedge costs.

Requirements

• Bachelor’s degree in Quantitative Finance, Mathematics, or related quantitative degree
• 2+ Years of Risk Analysis or Risk Management Experience
• Demonstrated experience with advanced statistical analysis, modeling, and quantitative finance
• Intermediate SQL, Excel, and VBA
• Understanding of Interest Rate Markets and MBS valuation

Nice To Haves

• Master’s degree in Quantitative Finance, Mathematics, or advanced certification such as FRM or CFA
• Expert in SQL, Excel, VBA and data management and analysis
• Intricate knowledge of technical analysis, MBS prepayments and cashflows, the interconnectedness of global markets and their subsequent influence on whole loans and MBS.

Responsibilities

• Generate various analytics to support and inform hedging strategies with the goal of neutralizing impacts to all Risk Positions from market driven duration, convexity, volatility, key-rate, relative value and liquidity related risks.
• These analytics encompass all instruments traded (MBS, Swaps, Treasury Futures, Eurodollar Futures, and Derivatives) as well as all assets being hedged (rate locks, warehouse loans, fallout, IO strips, MSR, etc.)
• Leverage knowledge and understanding of Mortgage-Backed Securities (MBS), Whole Loan, and MBS/Futures/Rates Options markets to isolate, analyze, and report on underlying market trends and identify relative value opportunity.
• Work independently and with others to isolate and quantify various risk factors on the asset being hedged.
• Develop quantitative models and multi-dimensional risk reporting to enhance the Hedge Team’s views of risk on the aforementioned assets.
• Implement statistical methods on all means of markets and position data to better stratify risks and highlight opportunities
• Design and construct highly complex hedging, pricing, and securitization tools to support all facets of the Hedge Team’s areas of responsibility.
• Maintain these tools in ever evolving risk, regulatory, and trading environments.
• Advise various partners in leveraging these tools both inside and outside of the Hedge Team.
• Retain flexibility to respond in rapidly changing markets to any challenge faced with respect to quantitative analytics and risk
• Optimize loan level profitability via MBS securitization of originations through collaboration with Loan Delivery Team and Mortgage Trader 2 on creation of MBS.
• Manage and direct loan level disposition into securities while maintaining profitability, market share, and relationship goals
• Potentially responsible for managing a Risk Position in order to preserve Initial Margin through precisely managed hedging, decreasing associated hedge-costs where possible, and maximizing Post Lock Gain on Sale Revenue through various activities and tactics with the GSE’s and various Wall Street Investors.
• Generate daily rate sheet pricing through careful and thorough monitoring of various interest rate and TBA markets
• Liaise with Pipeline Risk and Valuation team to optimize QRM-MB risk and valuation system, ADCO prepayment model, and Fallout functions as well as explain and develop attribution of day over day profit and loss changes
• Collaborate with Servicing Asset Manager to maintain optimized connection with the QRM-SV MSR risk and valuation system.
• Strive to continue alignment of both risk and valuation for pipeline and warehouse assets with the engine being used to capitalize the cashflows.
• Work closely with channel partners in order to stratify market share views, analyze underlying trends in the competitive originations landscape, measure profitability and optimize the margin/volume tradeoff.

Benefits

• All regular teammates (not temporary or contingent workers) working 20 hours or more per week are eligible for benefits, though eligibility for specific benefits may be determined by the division of Truist offering the position.
• Truist offers medical, dental, vision, life insurance, disability, accidental death and dismemberment, tax-preferred savings accounts, and a 401k plan to teammates.
• Teammates also receive no less than 10 days of vacation (prorated based on date of hire and by full-time or part-time status) during their first year of employment, along with 10 sick days (also prorated), and paid holidays.
• Depending on the position and division, this job may also be eligible for Truist’s defined benefit pension plan, restricted stock units, and/or a deferred compensation plan.

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level