Non-Agency RMBS Research-Portfolio Strategy/Risk Management
The Candidate will be part of a risk management team that is responsible for: defining trading limits; looking at risk sensitivity and risk exposure, and conducting relative value research and analysis on non-agency RMBS positions. The candidate will have 5-10 years of relevant experience (preferably with a sell side MBS Research and Strategy team), have current programming skills in C++, strong statistical modeling of large data sets using SAS and Matlab and will be expected to know: Mortgage Basis/Rich Cheap Analysis, Prepayment Projections, Roll Rate Analysis, Agency and Non-Agency relative value analysis, Sector Recommendations-MBS Basis, CMO, Passthroughs, Derivatives, Performance Attribution, Asset Allocation and Portfolio Optimization. The firm will look at candidates from top 20 schools with degrees in engineering, physics, math, computer science who have 5-7 years of experience conducting quantitative relative research to decipher value in non-agency RMBS transactions.
Keywords: Non-Agency RMBS, Relative Value, MBS Research, Structured Credit, C++, Risk Management
Refer to Job#19884- EFC and email MS Word attached resume to Jim Geiger, jeg@analyticrecruiting.com or register online at www.analyticrecruiting.com choosing Jim Geiger as your contact recruiter.
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