Job Description
The Structured Products market makes up nearly $10 trillion of US public and private bond market debt. Banks use financial engineering to transform a variety of assets, such as residential and commercial mortgages, CLO'S, auto and student loans, and credit card debt, into securities that are structured to meet nearly any investor appetite. Our goal is to provide accurate data and analytics across this asset sector for our customers. Our clients cover all aspects of Structured Products including, but not limited to, structuring, pricing and accounting. We aim to ensure our product is essential to each client's diverse workflow needs by delivering reliable and timely data in an easily consumable form.The team:We are responsible for creating and maintaining a large library of cash flow models and data for these securities. Cash flow models are required, along with prepayment and credit assumptions, in order to price these securities accurately.What's the role?You will be creating cash flow models primarily for the Agency Collateralized Mortgage Obligations (CMO) asset sector with the potential to cover other asset sectors including Collateralized Loan Obligations (CLO), Residential Mortgage Backed Securities (RMBS), Commercial Mortgage Backed Securities (CMBS) and various Asset Backed Securities (ABS, Credit Card, Auto, SLABS). You will also be developing groundbreaking tools to improve the accuracy and coverage of our product as well as to improve the efficiency and quality of supporting processes.
Responsibilities + Skills
Education
Reverse engineer and manage a large library of Agency cash flow models in a Python-based platform that are crucial to buy/sell side consumersCommunicate with lead managers and other clients to properly create, update, and validate cash flow models based on offering documents and preliminary information
Experience
4+ years professional experience in cash flow modeling, data driven analytical work, or programmingA BA/BS degree (or higher) in a STEM field, and/or an equivalent combination of education, and/or related professional experienceLegal authorization to work in the US without visa sponsorship now and in the futureStrong communication, attention to detail, analytical and problem-solving skillsAbility to take on detailed assignments in a fast-paced environment
