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Position: Derivative Valuations Analyst
Job Number: MS03754
Location: NY - New York City
Date Posted: 2017-06-26
Salary Range: $101-125k
Job Summary:

Be responsible for performing valuation oversight for securities and derivatives held in strategies managed by the Investment Management business. They will assist in the review of portfolio performance and reconciliation with desk estimates – particularly as it relates to those strategies which hold securities and derivatives. 

Company Information:

Name: Leading Investment Bank

Job Description:

Principal Responsibilities 
- 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 respective products. 
-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

Requirements / Qualifications:

- Degree in Finance / Accounting, CPA or CFA preferred 
- Experience in the financial markets and the investment management industry is preferred 
- Requires an understanding of valuation methods for the types of securities and derivatives mentioned above (including, but not limited to interest rate swaps, variance swaps, inflation linked interest rate products, credit default swaps, total return swaps on emerging market debt, securities -equities, MBS, ABS, emerging market debt, corporate bonds, investment grade bonds, high yield bonds, government bonds, etc.) 
- Minimum of 3-5 years relevant work experience (public and / or private) 

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