Derivative Hedging Analyst FAS 133
Posted on Jan 24, 2019 by Analytic Recruiting Inc.
- Price and Execute OTC Derivatives Trades
- Perform Valuation of Structured Derivatives and hedge effectiveness
- Perform SFAS 133 Accounting valuation and stress testing
- Perform balance sheet and net income simulations using PolyPaths Asset Liability Management (ALM) Income Simulation application
- Run models and simulations that will analyze all aspects of the MBS portfolio: accounting, valuation, term funding, hedging, balance sheet targets, cash management and risk targets
- Model and price complex structured MBS transactions
- Work on monthly reporting: Transactional Data; Profitability Analysis; Budget Variance Analysis
- Work on improving financial analysis processes and methodologies
- 5+ years of hands on MBS portfolio analysis experience using ALM projection models [PolyPaths preferred] for forecasting, budgeting, profit analysis and financial reporting
- Advanced Quantitative degree in Math, Financial Engineering, Statistics
- Must have of knowledge of SFAS 133 Derivative Accounting principles
- Must have current and strong financial modeling skills [PolyPaths preferred]
- Must have superior written and oral communication skills
- Must be able to produce detailed financial analysis, run simulation models, and generate budget and profitability reports in a time sensitive trading room environment
- Must have strong Database and SQL Query experience
- Only candidates who are US Citizens or who have Permanent Resident status will be considered.
Keywords: Risk Reporting, MBS, Credit Risk Modeling, Credit Impairment, Structured Finance, Polypaths, Bloomberg, Fair Value Assessment, Portfolio Management, Excel, Credit Modeling
Please refer to Job 23247 - and send MS Word attached resume to Jim Geiger, | For More Opportunities VisitNY based Financial Firm with a large RMBS portfolio is looking for an experienced Quantitative Desk Analyst to work directly on an active trading desk pricing derivatives transactions and reviewing the firms FAS 133 hedge accounting valuations and hedge effectiveness.