Job Description

Description

The ALM Prepayment Analyst will focus on improving mortgage-related models and processes used in asset/liability management (ALM), risk management, and valuation. The analyst will have experience modeling the cash flows and risks associated with residential mortgages, mortgage-backed securities (MBS) and mortgage servicing rights (MSR). The analyst will use this experience to make strategic recommendations on modeling, risk management, and macroeconomic outlooks for balance sheet management and MSR valuation.

Responsibilities:

* Manage QRM's mortgage prepayment models currently used by CFGs ALM group in balance sheet forecasting and MSR management, including:
* Develop deep knowledge in portfolio characteristics and customer behavior through data mining, segmentation analysis, and market analysis.
* Monitor model performance and communicate results to internal stakeholders
* Propose model changes as necessary such as tuning and recalibration, supporting with sensitivity testing, back testing, and fundamental driver analyses
* Demonstrate understanding of related models that affect mortgage valuation and forecasting, including term structure, credit risk, and mortgage interest rate models.
* Interface effectively with Model Risk Management & Validation, Market Risk Management, and other challenge groups to facilitate periodic model validations and reviews.
* Propose improved approaches to modeling mortgage and other prepayment exposures.
* Develop forward-looking macroeconomic and interest rate views while collaborating with CFGs Treasury for balance sheet management.
* Provide analytical support to management in developing strategies associated with balance sheet, liquidity, and hedging decisions.
* Support mortgage modeling in initiatives such as Balance Sheet Optimization, Funds Transfer Pricing, and CCAR/DFAST when needed.
* Educate and mentor colleagues on mortgage prepayment modeling.

Qualifications

* 3+ years of experience using fundamental and quantitative analysis in the mortgage prepayment space to support risk, valuation, and pricing.
* Experience in programming such as (Excel/VBA, SQL, R, Python etc.)
* Exposure to mortgage prepayment vendor models such as Black Knight AFT, BlackRock, YieldBook, Barclays/Bloomberg, AD&Co, etc.
* Exposure to QRM or similar bank balance sheet management software
* Progress toward CFA charter desirable
* Excellent presentation and communication skills

Education:

* Graduate or undergraduate degree in mathematical finance, economics, mathematics, statistics or similar field.

Hours and Work Schedule

Hours per Week: 40

Work Schedule Monday -Friday 8-5

Why Work for Us

At Citizens, you'll find a customer-centric culture built around helping our customers and giving back to our local communities. When you join our team, you are part of a supportive and collaborative workforce, with access to training and tools to accelerate your potential and maximize your career growth.

Equal Employment Opportunity

It is the policy of Citizens to provide equal employment and advancement opportunities to all colleagues and applicants for employment without regard to race, color, ethnicity, religion, gender, pregnancy/childbirth, colleague or a dependents reproductive health decision making, age, national origin, sexual orientation, gender identity or expression, disability or perceived disability, genetic information, genetic characteristic, citizenship, veteran or military status, marital or domestic partner status, family status/parenthood, victim of domestic violence, or any other category protected by federal, state and/or local laws.

Equal Employment and Opportunity Employer/Disabled/Veteran

Citizens is a brand name of Citizens Bank, N.A. and each of its respective affiliates.