VP Mortgage Pipeline Valuation and Risk Modeling

The Mortgage Pipeline Valuation and Risk Modeling VP will be responsible for advanced administration, development, and strategic enhancement of the QRM-MB platform supporting mortgage pipeline risk management, best execution analytics, hedging, valuation, and secondary marketing decisioning. This role will own the development of highly complex modeling frameworks, abstract analytical concepts, and ad hoc testing scenarios within QRM, with a focus on expanding the system’s capabilities beyond baseline production support. Core responsibilities will include interest rate shock modeling, option-adjusted duration and convexity analytics, best execution modeling, pipeline valuation, fallout modeling review, and the design of advanced analytical processes to support capital markets strategy.

This position will work closely with the existing QRM team, which is primarily responsible for maintaining system integrity, performing routine checks and validations, managing version upgrades, and ensuring the stability of core production processes. While operating alongside that team, this role will be responsible for the advanced management of the QRM framework, including scripting and process programming, scenario development, model enhancement, interaction with model validation, and independent review of fallout function performance and broader model outputs. The successful candidate will be expected to identify opportunities to improve analytical precision, system efficiency, governance, and scalability across the mortgage capital markets platform.

Extensive hands-on QRM-MB experience is required, along with a deep understanding of fixed income/mortgage analytics, mortgage pipeline hedging, secondary marketing, mortgage pricing, servicing valuation concepts, and model governance. This role is expected to lead the QRM function from both a technical and managerial perspective, requiring prior management experience, strong leadership capability, and the ability to mentor and direct analytical staff. The role will also partner with ALM, MSR, Finance, Risk, Technology, and Model Validation teams to ingest data, support cross-functional initiatives, and ensure QRM outputs are aligned with enterprise risk management, valuation, and capital markets objectives.

Primary responsibilities include

• Lead Mortgage Capital Markets Analytics & Best Execution Strategy – Design, configure, and optimize QRM-MB models and decision frameworks that drive mortgage pipeline valuation, best execution, hedging strategies, and secondary marketing performance.
• Develop and Enhance Risk Modeling Solutions – Build, maintain, and improve advanced mortgage risk models, including interest rate sensitivity, pipeline valuation, fallout forecasting, duration/convexity analytics, and hedge effectiveness measurement.
• Drive Scenario Analysis & Strategic Decision Support – Perform complex stress testing, market simulations, and sensitivity analyses to evaluate risk exposures, execution alternatives, and portfolio performance under changing market conditions.
• Improve Operational Efficiency Through Automation – Streamline QRM processes, reporting, validations, and data workflows by implementing automated controls, exception monitoring, and scalable solutions that reduce manual effort and strengthen operational resiliency.
• Deliver Innovative Tools, Reporting & Analytics – Lead the development and implementation of new QRM tools, dashboards, reports, and analytical capabilities to support leadership decision-making across Capital Markets, Finance, Risk, ALM, and Secondary Marketing.
• Partner Across the Enterprise – Collaborate with Capital Markets, Risk, Model Validation, ALM, Finance, Technology, and business leaders to ensure models, reporting, and analytical frameworks align with enterprise standards, regulatory requirements, and business objectives.

Qualifications, Education, Certifications and/or Other Professional Credentials

Skills/Competencies:

• Expert QRM-MB proficiency: Extensive hands-on experience administering, configuring, testing, and enhancing QRM-MB for mortgage pipeline risk, valuation, best execution, fallout, hedge analytics, and secondary marketing workflows.

• Fixed income and mortgage analytics: Strong knowledge of duration, convexity, option-adjusted measures, spread sensitivity, prepayment behavior, fallout behavior, hedge ratios, and basis risk.

• SQL proficiency: Ability to query, transform, reconcile, and validate large loan-level, pricing, hedge, execution, fallout, investor, and risk datasets.

• Python proficiency: Ability to automate processes, manipulate large datasets, validate model outputs, run quantitative analysis, and support analytics inside and outside of QRM.

• Advanced Excel skills: Strong capability with complex formulas, scenario analysis, sensitivity modeling, pivot tables, Power Query, and management-ready analytical outputs.

• Mathematical and quantitative reasoning: Comfort with fixed income math, statistical concepts, probability-weighted outcomes, scenario design, and model performance testing.

• Abstract thinking and analytics: Ability to translate loosely defined business questions into structured modeling frameworks, testable scenarios, and actionable conclusions.

• Model governance and validation: Experience documenting methodologies, testing assumptions, explaining model limitations, and supporting independent model validation reviews.

• Leadership capability: Prior experience leading technical analysts or modeling teams, setting priorities, reviewing work product, mentoring staff, and driving accountability.

• Attention to detail and intellectual curiosity: Willingness to challenge assumptions, pressure-test outputs, identify inconsistencies, and continuously improve analytical frameworks.

Required Qualifications

• 5+ years of progressive experience in mortgage banking or MSR modeling
• 5+ years of direct experience with QRM-MB or QRM-SV platforms
• Demonstrated expertise in data analysis and reporting with proven ability to work with large, complex datasets from multiple sources
• Extensive hands-on experience with QRM-MB platform supporting mortgage pipeline valuation, hedging, and secondary marketing
• Strong expertise in fixed income and mortgage analytics, including duration, convexity, hedge analytics, and prepayment/fallout behavior
• Demonstrated experience in mortgage pricing, margin management, and capital markets strategy
• Proven ability to develop and manage complex analytical and modeling frameworks
• Strong SQL, Python, and advanced Excel capabilities
• Experience with model governance, validation, and regulatory expectations
• Prior leadership experience with the ability to manage, mentor, and develop analytical teams

Preferred Qualifications

• 10+years of experience in mortgage banking, capital markets, or MSR/pipeline modeling.
• 10+years of direct experience with the QRM-MB or QRM-SV platforms
• Deep experience in pricing optimization across products, channels, and investor executions
• Experience supporting Non-Agency, GNMA, and alternative execution strategies
• Advanced degree in Finance, Economics, Business Analytics, or related field

Hours & Work Schedule

• Hours per Week: 40
• Work Schedule: Monday – Friday 

Pay Transparency 

The salary range for this position is $161,000 - $214,000 per year, plus an opportunity to earn an annual discretionary bonus. Actual pay is based on various factors including but not limited to the budget, work location, and relevant skills and experience.   

We offer competitive pay, comprehensive medical, dental and vision coverage, retirement benefits, maternity/paternity leave, flexible work arrangements, education reimbursement, wellness programs and more. Note, Citizens’ paid time off policy exceeds the mandatory, paid sick or paid time-away policy of every local and state jurisdiction in the United States. For an overview of our benefits, visit https://jobs.citizensbank.com/benefits.

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Citizens, its parent, subsidiaries, and related companies (Citizens) provide equal employment and advancement opportunities to all colleagues and applicants for employment without regard to age, ancestry, color, citizenship, physical or mental disability, perceived disability or history or record of a disability, ethnicity, gender, gender identity or expression, genetic information, genetic characteristic, marital or domestic partner status, victim of domestic violence, family status/parenthood, medical condition, military or veteran status, national origin, pregnancy/childbirth/lactation, colleague’s or a dependent’s reproductive health decision making, race, religion, sex, sexual orientation, or any other category protected by federal, state and/or local laws. At Citizens, we are committed to fostering an inclusive culture that enables all colleagues to bring their best selves to work every day and everyone is expected to be treated with respect and professionalism. Employment decisions are based solely on merit, qualifications, performance and capability.

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