Senior Vice President, Risk Management for Secondary Markets

2 weeks ago

Pittsburgh, Pennsylvania, United States First National Bank Full time
Location: Pittsburgh, Pennsylvania

Join Our Team:
Become a vital part of our organization and contribute to our mission of excellence.

Position Title:
Risk Management Leader for Secondary Markets

Business Unit:
Mortgage Operations

Reporting Structure:
Reports to the Director of Residential Capital Markets

Position Overview:

This role is pivotal in collaborating with our hedging partners to oversee and evaluate the risk management framework for the HFS mortgage pipeline. The focus will be on employing hedging strategies to mitigate risks while maximizing returns and minimizing P&L fluctuations.

Additionally, the position encompasses the development of a comprehensive MSR hedging and valuation strategy.

Key responsibilities include calibrating modeling parameters, monitoring hedge performance, and effectively managing extended-term hedged assets. The role also involves risk analytics, reporting, and enhancing tools for optimal execution, specified pools trading, and MBS pooling & securitization aimed at P&L enhancement.


Primary Responsibilities:

- Conduct modeling to assess hedge effectiveness for the HFS Mortgage Pipeline, working closely with hedging providers to analyze the effectiveness of various hedging instruments and modeling parameters.

- Investigate the use of options to address increasing convexity risks and manage the unique challenges posed by a growing share of long-term products.

- Develop a robust performance monitoring and feedback system, including back-testing and stress-testing of HFS rate lock exposure against actual pull-through rates.

- Create a framework for managing MSR hedges using various derivative instruments, including Options, TBA, Swaps, and Eurodollars.

- Establish a valuation framework for MSR in collaboration with third parties for regular mark-to-market assessments and sensitivity analysis.

- Enhance risk analytics and reporting, implementing a dynamic risk measurement package to support the Capital Markets Manager in overall pipeline and warehouse reporting activities.

- Review and document policies and procedures in alignment with the ALCO risk control framework.

- Apply advanced analytics and modeling skills to support secondary marketing functions, including pricing analysis and market share studies.

- Develop processes for managing securitization and specified pool trading, with a focus on trade-to-pool allocation and settlement.

- Coordinate with the Finance Department for monthly and quarterly market-to-market profitability assessments.

- Evaluate existing and alternative vendor models for hedge services and pricing engines, recommending and implementing necessary changes.

- Collaborate with other roles in secondary marketing, including pricing, lock desk functions, product development, and loan sales.

All employees are expected to act as risk managers by understanding, reporting, and managing the risks encountered in their daily activities, in accordance with First National Bank's risk management program.

First National Bank is dedicated to maintaining high compliance standards by adhering to regulatory laws and guidelines. Compliance with these regulations is essential for all positions.


Minimum Qualifications:
- Education: BA or BS
- Experience: Minimum of 5 years in a related field

Required Skills:
- Exceptional written and verbal communication skills
- Strong management and project management capabilities
- Detail-oriented with excellent organizational and analytical skills
- Ability to thrive in a fast-paced environment and manage multiple tasks effectively
- In-depth knowledge of secondary residential markets, interest rates, derivatives, options trading, mortgage hedging, MSR, MBS trading, and specified pools.

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