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.
Name: Leading Investment Bank
Requirements / Qualifications:
- 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
- Degree in Finance / Accounting, CPA or CFA preferred
- Experience in the financial markets and the investment management industry is
- 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)