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VP Trader

Company: ExecuNet
Location: New York
Posted on: April 11, 2021

Job Description:

Duties: Commit capital in buying agency CMBS (commercial mortgage backed securities) pools to serve as collateral for CMO (Collateral Mortgage Obligation) deals. Structure, price, market and sell structured securities with agency commercial mortgage backed collateral to serve clients while using stochastic based relative valuation tools including option adjusted spread (OAS) to hedge and risk-manage pools not immediately sold into CMO deals, as well as any CMO bonds retained. Engage in risk-mitigating hedging activities designed to reduce spread and interest rate risk on inventory as well as in the daily operations of the desk. Develop and maintain direct relationships with traders at client firms to maximize the solicitation of new business. Focus on the performance of advanced computerized quantitative analysis, involving the use of quantitative methodologies including linear and non-linear optimization, Monte Carlo simulations, statistics, and numerical methods, to aid in the daily operations of the trading desk. Utilize quantitative skills and understanding of different approaches to pricing securities to develop an algorithm to price Agency CMBS securities. Work closely with modeling group to develop next-generation prepayment models using econometric models, stochastic interest rate modeling, Monte Carlo simulations, and the processing of very large data sets of home prices, borrower, prepayment and defaults data. Collaborate with modeling group to enhance and streamline current risk management, position management, and PnL calculation and attribution systems and explore the use of non-parametric models and machine learning for the modeling of MBS.Requirements: Requires a Master's degree or foreign equivalent in Finance, Mathematics, Computer Science or closely related field and three (3) years of experience in mortgages as a Trader, Quantitative Analyst, Researcher, or closely related position for a global financial institution. Work experience must include: Designing statistical models to be used by the trading desk; Executing statistical analysis and performing back-testing; Risks associated with a fixed income trading desk; Creating pricing models using mathematics, linear algebra, probability, real and complex analysis, and times series analysis; Implementing quantitative or statistical models using C++ or Python; Prepayment models including Machine learning; Relative value analysis techniques to value CMBS securities; Using data engineering and visualization for prepayment analytics and forecasting; and Macroeconomics, fixed income, options, multi-period asset pricing, stochastic calculus, Montecarlo.

Keywords: ExecuNet, New York , VP Trader, Executive , New York, New York

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