Macro Valuation Quantitative Analyst
Financial Services - Front Office
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 our 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 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
- 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 (, 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 disability.