AVP, Market Risk (3127) in Dallas, TX at Mr. Cooper

Date Posted: 10/5/2018

Job Snapshot

  • Employee Type:
  • Location:
    Dallas, TX
  • Job Type:
  • Experience:
    Not Specified
  • Date Posted:

Job Description

Ready to be a Cooper too? This might just be right up your alley!

The AVP of Market Risk will be responsible for providing expertise and analytical viewpoint over the MSR (Mortgage Servicing Rights) and Origination valuations as well as components such as prepayments, credit/default curves, pull-though model and risk segmentation. Reporting to the VP of Market Risk, the AVP of Market Risk will be working with the Structure Finance and Secondary Marketing groups on model testing/implementation, performing independent quarterly MSR valuations, as well as with the Compliance/Risk Management group on establishing meaningful key risk indicators.

Roles & Responsibilities:

  • Reports to the VP of Market Risk, under the Mr. Cooper’s Compliance/Risk organization
  • Provides oversight over the OMSR and MSR valuations by testing and corroborating quarterly assumptions specific to Agency and Non-Agency MSR portfolios as well as the Pipeline origination
  • Partners with the Secondary Marketing group on generating origination MSR pricing grids and pricing adjusters to reflect up-to-date pipeline characteristics and market movements
  • Builds, operates, and improves valuations on MIAC model specific to Origination MSR grids
  • Constructs and maintains various excel models for daily reporting tasks; works with trading desk/IT personnel to enable and ensure timely and accurate output deliveries
  • Partners with Structure Finance group by providing analytical viewpoint to MSR components such as prepayment curve, credit/default curve, and risk segmentation
  • Sets, supports and back-tests quarterly MSR portfolio assumptions
  • Performs quarterly MSR portfolio valuation and assists in MSR portfolio analysis including researching, validating, and maintaining key model and market based assumptions for both agency and private portfolios.
  • Partners with Quantitative Analytics to improve valuation assumption validation and model setup, and ensures model inputs are aligned with external market and economic environment
  • Partners with colegues from Compliance/Risk Management groups on establishing meaningful key risk indicators
  • Communicates with senior management and model users when new risk mitigation measures are introduced; explains the model rationale to improve user’s understanding
  • Summarizes monthly/quarterly market overview from risk perspective and presents to management

Core Requirements:

  • 5+ years of relevant work experience in mortgage or fixed income related Capital Markets, Finance, Mathematics or other data analytics discipline
  • Graduation from a 4-year college or university is required; Will consider the equivalent combination of job experience and education that demonstrates the ability to perform the essential functions of the job
  • CFA/Master degree or progress toward preferred.
  • Relevant experience in prepayment modeling or credit analytics.
  • Relevant experience with MSRs, whole loans, derivatives or other fixed income products and familiar with cash flow component analysis
  • Experience with valuation models (i.e. MIAC, Compass or QRM) is highly preferred
  • Expert proficiency with Excel (data manipulation, data analysis package, solver) is required and some knowledge of database applications. SQL experience a plus
  • Strong presentation, communication, and writing skills
  • Excellent quantitative skills and strong written/verbal communications skills

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United States of America

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Mr. Cooper

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