Plan and participate in the development of mortgage-backed securities (MBS) analysis and risk hedging models and programs by identifying and analyzing areas of potential risk to the fund assets, developing or implementing risk assessment models or methodologies, and conducting statistical analyses to quantify risk using relevant statistical and mathematical models. Conduct risk analysis for mortgage-backed securities, interest rate swaps, Treasuries, Treasury futures and swaptions, validate and synthesize data to produce key rate durations and other risk metrics, and report information to portfolio managers and track daily changes in profit/loss for portfolios. Run scenario analysis using a variety of interest rate, mortgage rate, and volatility shocks to analyze risk and return potential for shifts in these underlying factors and collaborate with middle and back office to report on security cashflows and mark to market gains and losses. Gather comprehensive risk-related data from both internal and external sources and maintain input accuracy and other data quality for the information used in the models. Utilize Python, R, Stata, or SAS for a variety of risk assessment and management purposes, including to pull security pricing data for a variety of instruments from Bloomberg, BAML Mercury, Citi Velocity and Credit Suisse's Locus. Pull security data from Bloomberg for Agency mortgage-backed securities including pricing, prepayment, and loan level indicative data, and utilize machine learning and econometric techniques to uncover pricing inefficiencies in security pricing and prepayment data. Devise systems and processes to monitor validity of the outputs, including tracking, measuring, or reporting on aspects of market risk for MBS, to ensure the viability and accuracy of the risk modeling outputs, and devise scenario analyses reflecting possible severe market events, and analyzing changing factors, such as new legislation, to determine their impact on interest rate exposure. Use strong communication skills (verbal and written) to confer with traders to propose new mortgage transactions/trades, which could improve portfolio returns and insulate the Petitioner's funds from unexpected interest rate movements, capture and review Agency CMO offers from brokers and dealers as well as bid lists, generate Option Adjusted Spread (OAS), risk metrics and scenario analysis for securities, and report information to portfolio managers to help identify trades, and identify securities that are mispriced and poised for capital gains using the combination of OAS and prepayment analysis. Identify and communicate risks associated with specific trading strategies and position on an ongoing basis to recommend ways to control or reduce risk, and identify changes in prepayment behavior and suggest potential sales or purchases of securities based on this data and work with other staff members to combine prepayment and interest rate analysis to analyze risks to the portfolio. Work with portfolio managers to ensure the Petitioner's MBS analysis and hedging programs maintain and/or improve the performance of related funds and provide timely insight on deficiencies or potential risk exposure that changes within the specific investment sector may bring forth, in order to have appropriate strategies to respond proactively. Assist portfolio managers in identifying trades that have realized their expected upside or that currently produce a risk profile no longer suited for the fund, including tightening in OAS or yield, increases in convexity costs, and increases in prepayments above model expectations and outside expected tolerances. Telecommuting may be permitting. When not telecommuting must report to Richbrook Advisors LP, 540 Madison Ave, 26th Floor, New York, NY 10022. MINIMUM REQUIREMENTS: Must have a Bachelor’s degree or U.S. equivalent in Finance, Commerce, Computational Finance, Financial Engineering, Econometrics, Statistics, or a related field, plus 2 years of professional experience as an Analyst, Specialist, or other occupation/position/job title involving financial risk analysis. Must also have the following special skills: 2 years of professional experience performing quantitative analysis for interest rate market and mortgage-backed securities (including identifying key risks and mitigating factors of potential investments within specific investment classes) and researching, analyzing, and developing risk strategies (including interest rate hedging programs); 2 years of professional experience developing and maintaining tools and reports for portfolios of mortgaged-backed securities (MBS) or mortgage servicing rights (MSRs) including P&L, valuation, prepayment, and default performance; 2 years of professional experience evaluating MBS and interest-only or MSR cashflows in a Option-Adjusted Model framework; 2 years of professional experience building models and tools utilizing advanced programming languages including Python, Excel VBA, and SQL; and 2 years of professional experience project managing and communicating findings to senior financial stakeholders.

　　Minimum Salary: 90,958Maximum Salary: 145,000Salary Unit: Yearly