Quantitative Analyst -Asset Backed Securities Model Validation
October 13, 2018
London, United Kingdom
My client a leading corporate bank is looking for a Quantitative Analyst for their Asset Backed Securities Model Validation team.
Validate models used for the pricing and risk management of Asset-Backed Securities (ABSs)
Involvement in the approval of bespoke transaction prior to execution
Analyse and validate standard and bespoke ABS models addressing default projections, cash flow generation and complex waterfall structures
Analyse parameter sensitivity and robustness of key features of custom-made ABSs (prepayment, expected loss, rating, value)
Evaluate credit quality of underlying loan collateral in ABS and MBS pools and perform cash flow stress analyses
Contribute to the development of analytics to assess cash flows of pool of securitized assets and the valuation and risk of ABS, RMBS, CLO positions
Develop quantitative tools and metrics for structured credit portfolio risk analysis and validation
The review of the model documentation, challenge of model assumptions and mitigating factors
Conduct various tests to assure the effectiveness of the development and perform replication whenever possible
Model risk assessment based on input data, theoretical soundness, IT, model performance, use, control and processes, sensitivity and scenario analysis
Set restrictions and recommendations to improve and/or mitigate model risks
Produce validation report and present findings in the approval committees
There is also possibility to cover areas outside of securitisation
Previous ABS, RMBS, CLO or Credit Derivatives markets experience and knowledge of securitisation practices from portfolio management or securities valuations
Familiarity with a wide range of risk and financial performance analyses, cash flow forecasting and sensitivity analysis, and contacts within the ABS market is desirable
Knowledge of Fixed Income instruments and models would be a plus
Postgraduate level education in a quantitative discipline- Ph.D. in Mathematics, Physics or similar numerate subject would be desirable.
Familiarity with model risk management, model governance and knowledge of Basel regulation
Knowledge of Python and Matlab, SQL, VBA, R, C++, Latex, git and/or any other programming language
Strong written and presentation skills.
Please send your CV to firstname.lastname@example.org
Please note our advertisements use PQE/salary levels purely as a guide. However we are happy to consider applications from all candidates who are able to demonstrate the skills necessary to fulfil the role.
Internal Number: 4683341
About Taylor Root
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