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Support a team that provides detailed and customized analysis of institutional clients' MBS and MSR portfolios
Support a team that analyzes and evaluates Clients' portfolios using prepayment, default and cash flow models
Model clients' MSR portfolio risk
Monitor clients' portfolios, for risk attribution and valuation
Monitor daily movements in the capital markets and understand their impact on client's MSR positions and portfolios
Monitor MSR secondary markets and maintain the firms MSR valuation and risk models
0-2 Years of Mortgage Market, Fixed Income Risk Management experience
Will look at candidates with strong quantitative backgrounds with no previous work experience
Must have worked with or have deep understanding of quantitative financial models: Interest rate models, MBS, MSR, Options
Knowledge of mortgage origination operations, MSR activities and interest rate and prepayment risk models is a strong requirement
Role requires advanced analytical modeling skills and superior written and oral communication skills
Must have strong current knowledge in one or more of the following programming languages: MS Excel, VBA, SAS, Matlab, SQL, R, C++
Candidates who have a passion for the Fixed Income Portfolio Management, who understand how complex quantitative models are used to price, trade, and hedge MSR's and who enjoy working closely with institutional clients on complex issues should apply.
Keywords: MSR, Mortgage Origination, MSR, Valuation, Risk, Model Calibration, Capital Markets, Polypaths, QRM, Interest Rates, MSR Trading
Please refer to Job #22948 - and send MS Word attached resume to email@example.com