Sr. Portfolio Financial Analyst – Total Return - 5192MM

Job # 5192MM

 

Position: Sr. Portfolio Financial Analyst ? Total Return

Location:  East Coast

Salary Range:  Very Competitive

 

Company Description:  Very large financial institution.

 

Requirements:  Bachelor's Degree required, Masters Degree preferred, CFA preferred.

A minimum of five years of experience in portfolio and/or risk management that focuses on mortgage-related securities and option-based derivatives.  Thorough understanding of the mechanics of mortgage securities market and debt and hedging instruments.  Understanding of latest advances and best practices in market risk methodologies and modeling approaches.  Knowledge of best practices in performance measurement.

 

Duties: Develop and monitor total return metrics for Capital Markets group.  Measure portfolio's performance with attribution to provide feedback to senior management on business strategies.

Measure performance of customized benchmark portfolios to provide context on return.  Isolate external and internal performance factors to assist in explaining performance.  Work with Analytics team and traders to develop tactical and strategic guidance on portfolio's market risk position that are consistent with risk limits and capital constraints.  Provide recommendations to senior management and Capital Markets Advisory Group.  Support Capital Markets team with guidance on portfolio composition with specific allocation recommendations across asset classes and products.  Assist in developing debt-funding strategy.  Review market risk reports and capital adequacy reports to maintain to a comprehensive understanding of risk positions, market conditions and business strategies. Maintain an understanding of investment and funding guidelines, market risk policies, liquidity risk policies, and capital policies. Coordinate with systems personnel to continually develop the infrastructure to support business and modeling needs.  This includes the portfolio collection and aggregation process, access to appropriate market information and utilization of different pricing methodologies to estimate fair value, and database, which satisfies reporting, and analysis needs. This position requires the ability to supervise multiple analysts and manage multiple projects contemporaneously.  It will require an ability to work effectively with a variety of different functions in the mortgage portfolio business including other portfolio strategy analysts in the risk management strategies group, developers of portfolio financial models, and members of the Portfolio Transactions and Treasurers Office.