Assistant Manager at Kelly Services
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Director - Quantitative Analysis - BFSI (8-14 yrs)
We have an opportunity for one of the leading Captive Setup.
POSITION TITLE: Director - Quantitative Analytics, Capital Markets
JOB FUNCTIONS AND RESPONSIBILITIES:
To perform this job successfully, an individual must be able to perform each essential duty satisfactorily.
- Develop robust and comprehensive models using advanced statistics and algorithmic programming
- Provide model validation and monitoring support across capital markets
- Aggregate and analyze large data sets to be used in assumption and model validation
- Develop streamlined model performance and tracking reports
- Develop and maintain models related to the portfolio's prepayments, self-cure, re-defaults and customer complaints metrics
- Support ongoing back-testing of existing models, as well as identify any strengths and weaknesses
- Support the documentation of model methodology, inputs, and outputs for the purpose of audit and review
- Support risk management through development and maintenance of statistical analyses that measure and model the behavior of mortgage assets
- Leverage macro-economic fundamentals to explain behavior under changing economic conditions for the purpose of scenario analysis and stress testing
- Analyze hedge activity, including interest rate risk inherent to financial instruments
- Assist in evaluating and engineering hedge programs
- Create enhanced analytics to facilitate the decision-making of multiple sale options (ex: securitization or whole loan)
- Leverage third party models were necessary to measure asset behavior
- Conduct strategic research and analysis for executive management by request
- Conduct ad hoc research and reports for the valuation & analytics teams
- Measure the dynamics of the MSR portfolio to changing macro-economic conditions
- Develop strategies to maintain data integrity and business workflow efficiency within Capital Markets and other departments.
- Provide recommendations for continuous improvement of the department's reports, processes, policies and procedures.
WORK TIME: 2-11 PM