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Analyst – Asset Backed Securities

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Investment Management
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B19020 - Investment Management
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*Full Job Title:  Analyst (Asset Backed Securities)

 

JOB DUTIES (RESPONSIBILITIES): This highly technical, non-administrative position is responsible for all aspects of a buy-side (ie, (investment/insurance/pension companies) investment process within a structured asset-backed securities sector, including fundamental analysis, quantitative model building, trading and performance attribution.

 


JOB DUTIES (PERFORMED RELATIVE TO RESPONSIBILITIES AND REQUIREMENTS):  Duties include among others:  Aggregate and summarize ABS market trends, research and fundamental data; use statistical software to analyze large datasets; produce security analytics.  Test sensitivity of ABS securities’ analytics to model outputs and their effects on losses and prepayments; collect and review market levels; study commercial real estate fundamentals.  Create profit and loss and spread level reports using Stata; write code in Stata that produces security reports (remittance reports, shortfall reports, etc.) and market reports (market sizes, delinquencies, trading volumes, monthly sector reviews, etc).  Write code in Stata to produce statistics of loan level data stored in Oracle; use Excel and Write VBA code for the existing model and help direct modelling work for other team members.  Manually input loan level model assumptions into IntexCalc or IntexDesktop, while testing their options, to produce security cash flows and analytics; analyze security analytics, risk and return profiles and identify relative value. 

  

 

 

 

JOB REQUIREMENTSMaster’s degree in Computational or Mathematical Finance (or academic equivalent) or other job-relevant major.  At least two to three (2-3) years experience involving aspects of the “buy-side” investment process within a structured products sector and must have included fundamental analysis, quantitative model building, trading, and performance attribution.  Specifically required is the demonstrated ability to:  determine relative value across securities within the ABS sector through evaluating fundamental credit risk, prepayment risk, structuring risk and liquidity risk to determine appropriate transactions; utilize and create the tools necessary (VBA , Excel, and Stata) to interact with the portfolio managers, clients, and other specialists to communicate performance, strategy, and risk positioning; develop, enhance and maintain a fundamental cashflow model as well as analyze historical loan performance as the dataset; and utilize IntexCalc and IntexDesktop to evaluate and determine security level cashflows and analytics as outputs from the model as well as Stata to analyze and parse the large datasets required.

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