Senior MBS Risk Manager/Modeler
This large fixed income investment manager headquartered in California and with offices worldwide, is seeking a Risk Manager with experience in trading and/or portfolio management to join its quantitative risk modeling team in Pasadena.
The successful candidate will be the company’s main risk resource for all agency, non-agency, asset-backed, and commercial mortgage-backed investments. He or she will be responsible for creating or vetting valuation models for every MBS/ABS instrument owned or considered by the company. The models will drive the firm’s risk engine. In addition, the successful candidate will also be expected to understand MBS/ABS strategy on a more qualitative level, and to have extensive practical experience with MBS/ABS instruments in a trading and/or portfolio management environment.
Experience with as many of the following as possible: Risk analysis and valuation modeling of agency and non-agency MBS. Should be adept with state of the art mortgage prepayment, default, and recovery models. Analysis of CMO structures, IOs, and POs, mortgage TBAs and rolls; MTA, neg-am, option ARM, alt-A, and other mortgage forms. Experience with ABS and CMBS also a plus, including auto, student loan, credit card, etc., whole loan mortgages, and CDOs.
In addition to technical skills, the successful candidate will be expected to communicate well with a variety of other parties, including client service personnel and clients; portfolio management personnel; more junior members of the risk group; and senior business management.
The successful candidate will have a Ph.D. or Master's degree in a quantitative discipline with a minimum of at least ten years' experience as a “desk quant,” trader, trade analysis support, risk manager, portfolio analyst, or portfolio manager. Experience with model development, testing, and implementation, preferably experience with SAS, Matlab, FinCad or other modeling/statistical software. A detailed understanding of fixed income markets, trading and/or portfolio management processes, practical business applications and ability to articulate ideas and develop recommendations under uncertainty and regarding "grey areas", and ability to obtain data and information from disparate sources, link and analyze the information, perform data integrity checks, and conduct analysis.
The firm offers a competitive compensation and benefits package including discretionary bonus opportunities, company paid medical, dental, vision, life insurance and 401(k). This position is located in the firm’s corporate office and reports directly to the Chief Risk Officer for the firm.
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