Structured Credit Valuations Analyst recruitment
A Top Tier investment bank has opened up an exciting role within their Valuation Control function as a Structured Credit Valuations Analyst. You will be responsible for the modeling and risk assessment of all ABS positions and have daily contact with the Front Office and Market Risk. You will need great communication skills, a strong intellect, and great interpersonal skills and an excellent team player.
Key Responsibilities
- The role within the ABS Valuation Control team is responsible for the modeling and risk assessment of all ABS positions.
- The role reports to an experienced senior quantitative analyst capable of providing a fair degree of detailed guidance and technical support.
- The valuation and expected loss calculations are of focused on very closely by senior and Group management (to board level) in the organization.
- The individual will be expected to contribute to the development of the process model and will therefore have significant autonomy.
- Assess the risks relating to prepayments, defaults, loss severities and discount margins.
- Perform assessment of securities, including the quantification of the credit losses.
- Run relevant stress scenarios
- Implement enhanced impairment assessment methodologies for RMBS, CMBS, CDO's and Student Loans
- Provide monthly management information on impairment and credit losses.
- Perform monthly impairment analysis of asset-backed securities, along with evaluating any potential and actual credit losses with particular emphasis on RMBS, CMBS, CDO and student loan structures.
- Primary purpose is to perform IPV analysis of ABS assets held globally and ensure that these are appropriately valued with respect to current best practice and Accounting Standards
- Continually develop the expected loss and pricing models.
- To be able to provide cover for the majority of other Valuation Control team members
- To ensure that all output is produced in a timely and accurate manner
- To build relationships with key stakeholders including other Product Control Functions, IT, Operations, Front Office, Group Finance, Market Risk Management and Credit Risk Management.
Skills Required
- A degree, preferably in a mathematical discipline or equivalent
- Investment Banking experience
- Good understanding of investment banking products
- Structured Credit knowledge
- Knowledge from a modeling and/or risk assessment group
- Good working knowledge of asset-backed securities
- Detailed knowledge of curve fitting techniques, probability and statistics. This should include in-depth knowledge of Markov chains and monte-carlo processes.
- Good VBA skills or equivalent
To apply for this Structured Credit Valuations Analyst position you must have the experience as outlined above and be a hands-on, organised self starter with strong interpersonal skills and tenacity. You should also posses excellent oral written communication skills along with a thorough approach to analysis.
