Job Number: MS03749Location: NJ - Northern
Date Posted: 2017-06-21
Salary Range: $101-125k
Leading Investment Bank seeking an Associate IMD Valuations Controller!!Company Information:
Name: Leading Investment BankJob Description:
- Responsible for price verification of positions held in the portfolios
– including, but not limited to interest rate swaps, inflation linked interest
rate products, credit default swaps, total return swaps on emerging market
debt, securities (equities, MBS, ABS, emerging market debt, investment grade
bonds, high yield bonds, government bonds, etc.)
-Evaluating and Pricing MBS, ABS, CDS and Swaptions.
-Tracking and implementing market indicators such as ABX, CMBX, TBA and
Treasuries in order to maintain/update all the pricing matrices for the
-Performing reverse engineering of deals and trades in order to back out
assumptions such as spreads, prepayments, losses, and defaults among others and
use such data to calibrate the internal models/matrices used for pricing.
-OAS DM Yield/Loss modeling/Prepay modeling
-Implementing and helping develop new pricing methodologies for all different
asset classes (Treasuries, Agencies, CMO, ABS, Corporate and CDS) to properly
price each bond and accommodate the ever-changing market conditions.
-Price various types of Agency and Non-Agency Mortgage Backed Securities (MBS)
structures using different pricing/modeling methodologies.
-Price Asset Backed Securities (ABS), such as Subprime Home-Equity bonds
(across capital structure), Student loans, Credit Cards, Auto loans and Utility
-Price Manufactured (MH) bonds by properly modeling prepayments and losses to
determine the value of the cashflows.
-Price credit default swaps (CDS) on single-name Asset Backed bonds backed by
- Assist in the development of a valuation and price verification framework for
newly traded derivatives and securities; in conjunction with IT, operations and portfolio management
- Regular interaction with other departments: IT, operations, fund accounting,
legal and compliance
- Assist in the review and reconciliation of performance specifically related to strategies which hold derivatives and cash instruments as mentioned above
- Preparation of management reports and analysis to assist portfolio management and finance managers in managing and understanding the businessRequirements / Qualifications:
- Degree in Finance / Accounting, CPA or CFA preferred