Collateral Valuations Analyst
Job DescriptionSupport the Bank's Collateral Risk Management program by performing securities pledge reviews, mortgage asset valuations, risk analytics (i.
e.
VaR, stress testing, benchmarking, etc.
).
Monitor performance and market risks related to collateral pledged.
Assist with methodology development, model management, and periodically review Collateral Risk processes.
Monitor Collateral Risk:
ssist with the development and on-going monitoring of the capacity extended on collateral pledged.
Assess Private Label MBS and Municipal Bond Eligibility.
Assist with the management, monitoring, and evaluation of model performance, limits/thresholds, and metrics.
Security Eligibility Assessments and Analysis:
Review securities collateral for eligibility.
This includes performing analysis, assist developing support and designing framework to accept new security types and suggesting changes to streamline security related processes.
Mortgage Valuations:
Perform residential and income producing pricing process at a large-scale using the approved vendor methodologies.
Ensure data quality extracted for residential and CRE/multifamily mortgage vendor pricing models.
Monitoring data changes, sending data to the pricing vendor, testing to measure member impact, loading into collateral database, monitoring and reporting.
Work with vendors to ensure pricing is sound and any changes in pricing results are appropriate and reasonable given current market conditions.
Mortgage Portfolio and Data Surveillance:
Proactively work with other areas within Collateral Risk to ensure data quality submitted to valuation models, assign default values in the absence of data, and ensure compliance with standards approved by the Credit and Collateral Risk Committee.
Provide guidance and assistance to Collateral Analysis in their outreach to members to improve data quality.
Monitor the integrity of data stored in collateral system, research data anomalies, and rectify any data discrepancies.
Valuation and Benchmark Assessments:
ssist in preparation of various Collateral Risk related analysis (i.
e.
Mortgage Valuations Report, New Collateral Recommendations, Collateral Risk monitoring, etc.
) to be presented to the Credit and Collateral Risk Committee or Model Risk Committee.
Perform benchmark valuation assessments.
Research and provide data driven support for Collateral Risk related initiatives and assist in developing recommendations.
Management Reporting:
Synthesize large amounts of mortgage and securities data for presentations to Senior Management, Model Risk Committee, and/or Credit and Collateral Risk Committee.
Assist with data analysis for other Collateral Risk reporting (Collateral Trends Report, Collateral Review report summary, etc.
) to be presented to the Credit and Collateral Risk Committee.
Process Improvement:
Periodically review data processes to support the automation, efficiency and reporting of Collateral Risk related processes, reports and analysis.
Serve as Backup for Regulatory Reporting:
ssist in the completion of all required departmental reporting for financial, system aggregation, regulatory and management purposes related to market valuation as needed.
Skills and
Experience:
3-5 years of experience in collateral management, collateral portfolio valuations and/or risk management.
Experience with relevant collateral including residential and commercial real estate mortgages and securities (including but not limited to Treasuries, RMBS, CMBS, Municipal Bonds) Experience working with large datasets and making meaningful inferences.
Solid knowledge of valuation and risk management practices.
i.
e.
VaR, model risk, identifying collateral trends, modeling techniques, etc.
Experience in scenario analysis, stress testing, and forecasting analysis.
Strong problem solving, analytical (quantitative, qualitative, statistical analysis of mortgage and security data) and research skills.
Data mapping, process flow mapping, data evaluation skills.
Strong interpersonal, written and oral communication, and effective presentation skills.
Proficient in Microsoft Access and Excel.
Working knowledge of SQL, Business Objects and/or Web Intelligence preferred.
Working knowledge of Bloomberg, NRSROs, and other market data resources.
Knowledge and experience with Python is a plus.
Education:
BS or BA required with emphasis in Computer Science, Mathematics, Finance or Economics preferred.
Recommended Skills Analytical Assessments Automation Benchmarking Business Process Improvement Collateral Management Estimated Salary: $20 to $28 per hour based on qualifications.
e.
VaR, stress testing, benchmarking, etc.
).
Monitor performance and market risks related to collateral pledged.
Assist with methodology development, model management, and periodically review Collateral Risk processes.
Monitor Collateral Risk:
ssist with the development and on-going monitoring of the capacity extended on collateral pledged.
Assess Private Label MBS and Municipal Bond Eligibility.
Assist with the management, monitoring, and evaluation of model performance, limits/thresholds, and metrics.
Security Eligibility Assessments and Analysis:
Review securities collateral for eligibility.
This includes performing analysis, assist developing support and designing framework to accept new security types and suggesting changes to streamline security related processes.
Mortgage Valuations:
Perform residential and income producing pricing process at a large-scale using the approved vendor methodologies.
Ensure data quality extracted for residential and CRE/multifamily mortgage vendor pricing models.
Monitoring data changes, sending data to the pricing vendor, testing to measure member impact, loading into collateral database, monitoring and reporting.
Work with vendors to ensure pricing is sound and any changes in pricing results are appropriate and reasonable given current market conditions.
Mortgage Portfolio and Data Surveillance:
Proactively work with other areas within Collateral Risk to ensure data quality submitted to valuation models, assign default values in the absence of data, and ensure compliance with standards approved by the Credit and Collateral Risk Committee.
Provide guidance and assistance to Collateral Analysis in their outreach to members to improve data quality.
Monitor the integrity of data stored in collateral system, research data anomalies, and rectify any data discrepancies.
Valuation and Benchmark Assessments:
ssist in preparation of various Collateral Risk related analysis (i.
e.
Mortgage Valuations Report, New Collateral Recommendations, Collateral Risk monitoring, etc.
) to be presented to the Credit and Collateral Risk Committee or Model Risk Committee.
Perform benchmark valuation assessments.
Research and provide data driven support for Collateral Risk related initiatives and assist in developing recommendations.
Management Reporting:
Synthesize large amounts of mortgage and securities data for presentations to Senior Management, Model Risk Committee, and/or Credit and Collateral Risk Committee.
Assist with data analysis for other Collateral Risk reporting (Collateral Trends Report, Collateral Review report summary, etc.
) to be presented to the Credit and Collateral Risk Committee.
Process Improvement:
Periodically review data processes to support the automation, efficiency and reporting of Collateral Risk related processes, reports and analysis.
Serve as Backup for Regulatory Reporting:
ssist in the completion of all required departmental reporting for financial, system aggregation, regulatory and management purposes related to market valuation as needed.
Skills and
Experience:
3-5 years of experience in collateral management, collateral portfolio valuations and/or risk management.
Experience with relevant collateral including residential and commercial real estate mortgages and securities (including but not limited to Treasuries, RMBS, CMBS, Municipal Bonds) Experience working with large datasets and making meaningful inferences.
Solid knowledge of valuation and risk management practices.
i.
e.
VaR, model risk, identifying collateral trends, modeling techniques, etc.
Experience in scenario analysis, stress testing, and forecasting analysis.
Strong problem solving, analytical (quantitative, qualitative, statistical analysis of mortgage and security data) and research skills.
Data mapping, process flow mapping, data evaluation skills.
Strong interpersonal, written and oral communication, and effective presentation skills.
Proficient in Microsoft Access and Excel.
Working knowledge of SQL, Business Objects and/or Web Intelligence preferred.
Working knowledge of Bloomberg, NRSROs, and other market data resources.
Knowledge and experience with Python is a plus.
Education:
BS or BA required with emphasis in Computer Science, Mathematics, Finance or Economics preferred.
Recommended Skills Analytical Assessments Automation Benchmarking Business Process Improvement Collateral Management Estimated Salary: $20 to $28 per hour based on qualifications.
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