Position- JS2653: Asset Back Securities AVP

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Position- Asset Back Securities AVP
Job Id (Use when Referring to Position):	JS2653
Job Type:	FTP
Location:
Experience:	0 - 0
Compensation:	$95,000.00 - $110,000.00
Job Description:	Asset-backed Securities Valuation   The Bank's Valuation Group is looking to hire an AVP-level employee to cover current and projected work-loads in secondary trading ABS.  More specifically, we expect the new employee to focus on credit-sensitive subordinate ABS and CDS on ABS.  All of these areas are high risk and depend heavily on product knowledge, collateral expertise and significant hands-on valuation experience.   The employee's time will be allocated as follows:   I.                    Single name CDS on ABS (excluding correlation).  Most reference securities are US$ issued subprime residential bonds.  II.                 Secondary trading cash subordinate subprime RMBS. III.               Investment Grade esoteric ABS such as Insurance Securitization, tobacco, container, aircraft, etc. IV.              Research, training, ad-hoc projects   Employee's duties will consist of the following:   Perform valuation and analysis of ABS portfolio. Maintain control of model applications including creation of alternative valuation methods and initial parameter checks.  Track and analyze issuer, collateral, and deal performance.  Reverse-engineer complex transaction structures using advanced Excel cash-flow modeling, bank proprietary systems, or 3rd Party platforms.  Determine valuation inputs, including loss and prepayment vectors,as well as appropriate secondary market spreads.  Report results of valuation work to finance management, senior trading, market risk, and business-area control management as part of the firm-wide valuation and risk control process. Liase with product control and risk management.  Participate in special valuation control projects across product areas.   Requirements:   Degree in an analytical or quantitative field such as finance or economics 4+ years hands-on valuation experience in asset-backed securities area.  Knowledge of and exposure to subprime RMBS collateral types, deal structures, and bonds is a must Need to understand relative value concepts 2+ years experience using Bloomberg and Intex (preferred)
Degree Required:
Desired Skills:
Additional Information:
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