Macro Valuation Quantitative Analyst


Division

Financial Services - Front Office

Location

Stamford, Connecticut

Employment Type

Permanent



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A global asset management firm founded and led by one of the most successful Hedge Fund managers in the industry is seeking a Macro Valuation Quantitative Analyst to join their team. It has a global footprint, headquartered in New York & Connecticut with $25Bil AUM and ~2000 employees worldwide. They invest across asset classes including Equities, Global Macro and Systematic strategies.  The most successful hires are professionals who seek to build a long-term career with the Fund.  They are a true innovator who looks for people who are interested in ways to generate alpha, energetically pursue excellence, are collaborative and intellectually curious. They offer top benefits and many amenities to foster an optimal work environment. 


Compensation : $200000 - $400000
Job ID : 13096

Job Function:

 

As the Macro Valuation Manager, you will manage the valuation for Mortgage products (Mortgage Specified Pool, TBAs, TBA options, and other Mortgage-backed products. You may also be involved with other products within the group including but not limited to credit derivatives, interest rate swaps/swaptions, FX derivatives, government bonds, and corporate bonds.

  • Manage the process to control market data inputs to the valuation models and ensure the valuation process is in compliance with our Client's valuation policy  
  • Perform model validation on new valuation models required for model upgrades or the new products  
  • Perform price testing analysis with counterparty valuation and other third party vendors’ prices such as Bloomberg or Markit. Maintain the valuation support as evidence that investment valuation is accurate.  
  • Liaise with front office, Risk team, and other supporting teams about pricing, valuation, P&L, and valuation models  
  • Work closely with the Technology team to implement valuation setup for new products and automate the valuation process  


Job Requirements:  

  • A minimum of 5-7 years of valuation experience on Mortgage products (Mortgage Specified Pool, TBAs, TBA options, and other Mortgage-backed securities  
  • Valuation experience on fixed income & interest rate derivatives, credit derivatives  
  • Strong knowledge of derivatives valuation modelling principles  
  • Strong Quantitative Finance background required with expertise in Derivatives    
  • Commitment & taking responsibility for the role including working with the larger team as well as resolving issues independently  
  • Excellent interpersonal & communication skills are a must  
  • Proven ability to work effectively on a cross-functional team (ie, Risk, Ops, FO & Management)    
  • Strong leadership skills to mentor, develop & train other in this expanding group within a new strategy within the larger Valuation team
  • Commitment to the highest ethical standards  

 

Disclosure: The hourly rates and/or salaries listed may or may not reflect total compensation packages including bonus and fringe benefits, etc., nor are the advertisement(s) posted a guarantee of a certain compensation package for a position or bona fide offer of employment. All qualified applicants will receive consideration for employment without regard to race, color, religion, sex, sexual orientation, gender identity, national origin, or protected veteran status and will not be discriminated against on the basis of disability.  

   

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