Vice President, Distressed Credit Desk Strategist
To conduct quantitative analyses and research to support the Distributed Credit Desk. Create and maintain investment portfolio management tools such as pricing models and valuation tools for Corporate Fixed Income bonds, loans, and derivatives. Perform valuation support for corporate credit trading desk for illiquid or opaque corporate bonds, loans, CDS’s, and common equity based on fundamental analysis such as cash flow, profitability, and industry analyses, or statistical methodologies using observable market prices/quotes of related instruments. Identify potential research opportunities (such as companies with signs of imminent liabilities management or restructurings) for trading desk analysts. Provide qualitative and quantitative analysis of corporate cashflows and income, and trade ideas such as bond + CDS packages, convertible bond arbitrage, CDS curve trades, and long/short capital structure trades. Monitor credit markets at a micro level for potential opportunities in high yield and distressed credits, and at a macro level, for attractive asset classes based on historical analysis of yields and market technicals such as fund flows, using Trace, Bloomberg, rating agency actions, SEC regulatory filings, and 3rd party bond, loans, and CDS pricing services. Perform valuation and risk analysis of loan CDS portfolios. Perform portfolio management including devising systematic risk hedging strategies for inventory of corporate fixed income assets, using equity index, equity options, and CDS options. Hedge unwanted interest rate exposure in a portfolio of credit derivatives and CDS index using libor-overnight index swaps, fx basis swaps, and vanilla interest rate swaps. Collaborate with Market Risk Division to determine capital requirements for the desk including choosing credit indices for value-at-risk calculations. Provide support for corporate credit instruments including detailed design and requirements gathering, prototyping, managing timelines, quality assurance, and training end-users of software tools. Perform risk management, derivative pricing, financial modeling, and participate in model development process. Generate daily, weekly, and monthly reports of risk, PL, and volumes and response to ad-hoc requests from traders and credit analysts. Develop ranking and scoring methodologies to identify top customers based on historical trading volumes, new issue participation, and profitability. Supervise the development of projects for trading desk including developing systems and data environment, and making critical design decisions. Devise loan closing metrics for closing team in order to reduce funding costs and optimize balance sheet usage. Utilize C++, C#, Java, Visual Basic for Applications, SQL, Sybase, Microsoft Visual Studios, Eclipse, and Design Patterns; statistical methods including regression analysis (linear, polynomial), correlation, and beta; Bloomberg including bond pricing, option term structure/volatility pricing, CDS pricing, and company capital structure analysis and arbitrage; Excel including Bloomberg Excel functions, including add in, pivot tables, advanced data manipulation functions, and macro programming; and company-specific systems.
REQUIREMENTS
Bachelor’s degree in Engineering, Mathematics, Computer Science, or related field or equivalent, and five (5) years of experience building and supporting pricing models and valuation tools to support trading in corporate bond and loan markets, utilizing C++, C#, Java, VBA, SQL, and Sybase, on behalf of a global financial services institution. Prior experience must include working with high yield and distressed credit markets; supporting corporate fixed income markets and products including performing risk management, derivative pricing, hedging and financial modeling; supporting pricing and trading of corporate bonds, loans, CDS, CDS indices, options, and interest rate swaps; providing corporate fixed income analysis; providing infrastructure support for corporate credit instruments; managing and designing technology solutions for trading desks; and utilizing Bloomberg Excel functions. Must have passed all 3 levels of CFA exams.
QUALIFIED APPLICANTS: Please apply through this website
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