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Modeling Analyst

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New job

A.C. Coy

2024-10-03 03:41:46

Job location Pittsburgh, Pennsylvania, United States

Job type: fulltime

Job industry: Administration

Job description

Overview:
Location: Hybrid - Pittsburgh, PA (2 days onsite, 3 remote)

Job Type: Direct Hire

Work Authorization: No C2C or Sponsorship

The A.C.Coy company has an immediate opening for a Modeling Analyst. Ideal candidates will have a minimum of 7 years' experience in Market Risk analysis, Collateral Valuation, ALM, or Model and solid understanding of fixed income and derivative markets including valuation and risk.

Responsibilities:
Support market risk measurement and reporting function my maintaining tools for the Market Risk department's analytical system

Integrate and test third-party prepayment and default models, deal structuring libraries, and term structure models

Create operational workflows and draw conclusions for various use cases of valuation and risk models

Lead the implementation and testing of new valuation and simulation models and upgrades

Identify, research, and address modeling issues

Perform back testing, benchmarking, and sensitivity analysis

Train and mentor junior analysts within Market Risk, Capital Markets, and COR Departments

Qualifications:
Education Required

Bachelor's degree in finance, statistics, mathematics, or related field

CFA, PRM, FRM, or CQF preferred

Experience Required

7+ years in Market Risk Management, Collateral Valuation, ALM, or Model

Solid understanding of fixed income and derivative markets including valuation and risk

Understanding of prepay and default models for residential mortgage loans (both single and multi-family)

Familiarity with financial accounting concepts such as ASC326, ASC815, ASC820

Programing skills in: VBA, MATLAB, SAS, Python or SQL

3+ years' experience using tools to manipulate data, perform analytics, or automate processes

Direct & recent experience with PolyPaths, QRM, Empyrean or other dedicated trading and risk platform

Experience with Bloomberg Terminal, Bloomberg Data License, or other Tier 1 provider of market data, reference, data, and security indicatives

Inform a friend!

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