Portfolio Analyst-ABS/CDO Programmer, Los Angeles vicinity

Will Relocate but there should be ample candidates in L.A. coming out of the mortgage lending institutions…

 

Position: Portfolio Analyst – ABS/CDO Programmer

$100-120K Base, Bonus (at or above) 25%

This position is for a quant/programmer with experience in CDOs, CMBS, ABS and RMBS…

 

 

Overview:

Responsible for development and programming of high-quality quantitative financial models across mortgage credit sectors. The ideal candidate will be an expert programmer and will also have very significant hands-on experience in building/programming high performance quantitative default and loss models.

Responsibilities:

• Manage analysis of prime, alt-a, and sub prime loan level data • Build default, loss severity, and prepayment models for each of the mortgage credit sectors through analysis of historical data • Further automate our surveillance process and design batch runs of mortgage securities to make CDO analysis feasible (each CDO can have 150 mortgage securities) • Ownership of the programming design, implementation, and maintenance of quantitative surveillance models for credit management tools. • Produce high performance, professional standard production code for risk assessment, historical analysis, optimization and general numerical methods.

Qualifications:

• In-depth knowledge of structured financial instruments including CDO, CMBS, ABS and RMBS, etc. • Advanced quantitative skills in the areas of structured finance, credit derivatives, default and recovery modeling and/or credit risk management. • Expert programming skills; experience with Intex a big plus • Experience in integrating third party math and analytical libraries into analytical models and engines • Progressive experience in architecting and implementing complex, stochastic credit risk and cash flow models • Expert quantitative financial knowledge in the areas of stochastic interest rate modeling, prepayment modeling, spread modeling, hazard rate modeling and cash flow modeling. • Excellent team-building, communication, and interpersonal skills. • Strong math background and excel skills • Self motivated   Academic Qualifications: Bachelors degree in related finance discipline required.  Advanced degree in Computational Finance and/or related discipline is a plus.  CFA certification preferred.

 

Email resume in Word to thebiggamehunter@cisny.com  ONLY IF YOU HAVE THE EXPERIENCE SOUGHT. Please include the job code with the position.

NO VISA TRANSFERS. NO 3RD PARTIES. NO OVERSEAS RESUMES.

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