Modeling Analyst

Location: Hybrid - Pittsburgh, PA (2 days onsite, 3 remote)

Job Type: Direct Hire

Work Authorization: No C2C or Sponsorship

The A.C.Coy company has an immediate opening for a Modeling Analyst. Ideal candidates will have a minimum of 7 years' experience in Market Risk analysis, Collateral Valuation, ALM, or Model and solid understanding of fixed income and derivative markets including valuation and risk.

• Support market risk measurement and reporting function my maintaining tools for the Market Risk department's analytical system
• Integrate and test third-party prepayment and default models, deal structuring libraries, and term structure models
• Create operational workflows and draw conclusions for various use cases of valuation and risk models
• Lead the implementation and testing of new valuation and simulation models and upgrades
• Identify, research, and address modeling issues
• Perform back testing, benchmarking, and sensitivity analysis
• Train and mentor junior analysts within Market Risk, Capital Markets, and COR Departments

Education Required

• Bachelor's degree in finance, statistics, mathematics, or related field
• CFA, PRM, FRM, or CQF preferred

Experience Required

• 7+ years in Market Risk Management, Collateral Valuation, ALM, or Model
• Solid understanding of fixed income and derivative markets including valuation and risk
• Understanding of prepay and default models for residential mortgage loans (both single and multi-family)
• Familiarity with financial accounting concepts such as ASC326, ASC815, ASC820
• Programing skills in: VBA, MATLAB, SAS, Python or SQL
• 3+ years' experience using tools to manipulate data, perform analytics, or automate processes
• Direct & recent experience with PolyPaths, QRM, Empyrean or other dedicated trading and risk platform
• Experience with Bloomberg Terminal, Bloomberg Data License, or other Tier 1 provider of market data, reference, data, and security indicatives