- Work closely with the team to create weekly and month-end Risk runs on the asset portfolio, which includes calculations of various analytics, as well as running of interest rate and credit stress scenarios and analyzing impact to various asset types as well as the overall portfolio, and drafting of weekly commentary to portfolio managers summarizing the results of how weekly changes in rates and other market conditions are impacting the portfolio..
- On a quarterly basis, work with the team to re-project cashflows on the structured credit portfolio to capture the effect of changes in the rate environment on accounting treatment of the portfolio.
- Work on calculating allowance amounts for the portfolio under the new CECL Accounting framework.
- On a quarterly basis, work with the team to use an internally developed portfolio rollover model under various interest rate scenarios to forecast investment earned rates over a five year horizon, and prepare presentations and analysis for senior management that provides commentary on market and portfolio changes to accompany portfolio rollover model results.
- Troubleshoot and debug issues that may arise out of models to trace back sources of errors, using various data science techniques.
- Work with Quantitative Developers to validate, debug, and enhance proprietary asset models.
- Maintain documentation of models and model-related processes
Qualifications & Experience
The ideal candidate is detail and process oriented, and able to work in a fast-paced environment while meeting strict deadlines. In addition, the following skills are necessary:
- Bachelor's or Graduate degree in Business or Math/Sciences
- Solid background in fixed income assets, especially structured securities and experience modeling securities using Intex
- Solid data science, Excel and SQL skills is a must
- Two to four years of relevant work experience
- Experience with modeling portfolios in Aladdin Explore/Answer, or other vendor based modeling platforms that focus on modeling fixed income and structured security portfolios
- Ability to understand dataflows between various systems that house data.
- Experience in delivering information under a SOX/SOC-1 controlled environment is a plus
- General understanding of accounting principles is a plus
- Attention to detail, strong work ethic, a team player and ability to think outside of the box with creative solutions
- CFA Charterholder, or progress towards, a plus
Pay Range
125,000 - 175,000
The base salary range for this position is listed above. This position is also eligible for a discretionary annual bonus based on personal, team, and Firm performance. Compensation ranges are based on several factors including job function, level, and geographic location. Final offer amounts are determined by multiple factors including candidate experience and expertise, and may vary from the amounts listed here.