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Market Risk Analyst
Banco Santander
Villanova, PA, United States
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Description
This position will be responsible for the daily pricing, monitoring, analysis and reporting of the Bank’s Secondary Market for Mortgages (SMFM) / Mortgage Pipeline portfolio.
Responsibilities:
• Daily reporting of SMFM position includes pricing, P&L, risk metrics, risk measurement, attribution of changes, market analysis and commentary.
• Generate and deliver SMFM Portfolio’s P&L results, risk metrics and measure/monitor against controls and limits for the Bank’s Market Risk Management program and Volker Rule Compliance and Reporting.
• Produce and review daily risk metrics including VaR, SVaR and P&L back testing.
• Maintain current market information in the SMFM pricing database on a daily basis including: Security prices, Agency Buy Up/Buy Down factors, Agency Fees and MSR price factors
• Produce analysis and attribution for P&L results, hedge effectiveness measurement along with maintenance and enhancements for the SMFM portfolio and related processes, data bases and models.
• Perform monthly reconciliation and validation of pricing and P&L results with accounting.
• Liaise with SMFM business line to ensure knowledge and understanding of daily operations, capital markets and new business stays current.
• Produce ad hoc analysis and reporting as necessary for the Mortgage Pipeline portfolio and related items.
• Generate, validate and maintain various management and regulatory reporting packages. Maintain documentation and support for results and analysis and upload results into the corporate risk repository system.
• Maintain and update policies and procedures related to the SMFM portfolio along with other related market risk processes and responsibilities.
• Assist in the implementation of a new mortgage pipeline management system and support related ongoing processes and routines.
• Support and provide backup for other Market Risk processes, team members and their respective portfolios and functions as needed.
• Assist in the development, enhancement and maintenance of complex Excel spreadsheets, tools, models, macros and MS Access databases to facilitate analysis and reporting of risk exposure and fair value attribution.
Qualifications
• Bachelor’s Degree - Accounting, Finance, Economics, Mathematics, Statistics or other relevant major.
• MBA, FRM, CFA or CPA is considered a plus.
• 0-5 years of applicable experience.
• Team player with the strong work ethic and the desire to learn and build skills.
• Self-starter who seeks out opportunities for improvement, takes ownership of responsibilities and prioritizes team success.
• Excellent quantitative and qualitative analysis skills.
• Strong analytical skills with the ability to summarize complex concepts and data.
• Strong computer aptitude and ability and desire to learn and utilize financial risk systems and other proprietary trade systems.
• Outstanding time management skills with the ability to prioritize, execute and bring tasks through the cycle to successful completion.
• Preferred Skills:
• Professional experience and skill in mortgage products and operations, mortgage secondary markets, mortgage platforms (I.E. Compass Point) and market data services such as Bloomberg and Reuters.
• Professional knowledge in Mortgage and Fixed Income Securities, Market Risk Management and Derivative products that may be used in hedging fixed income mortgage and/or fixed income portfolios.