Associate/Senior Associate - Valuation

About the job:

Responsibilities/Deliverables:

- Produce and review daily liquidity risk and VaR calculations

- Produce and review weekly risk report

- Prepare daily and monthly reports and ad-hoc analysis to assist portfolio management and valuation committee in tracking Cost/MV/PNL attribution and price trends/variances

- Verify monthly pricing for OTC securities

Key Requirements:

- Bachelor's degree with a major in Finance, Accounting, Economics, Mathematics or the Applied Sciences is preferred

- Professional experience with MBS and/or Structured Products Valuation

- Big Four Valuations Experience Preferred

- 2-6 years of relevant experience, preferably in a finance-oriented role

- Proficiency in Python, VBA, and Excel required; you should be well versed in reporting and data query formation

- Proficient with Python with ability to script from scratch, experience using on a regular basis, and knowledge of Pandas and NumPy libraries

- A strong understanding of derivatives including interest rate swaps, options, currency forwards, futures, swaptions, etc.

- Outstanding academic credentials

- Strong work ethic and integrity, candidate should be a team player that is proactive and self- motivated

- Strong analytical, organizational, interpersonal, communication and writing skills

- Ability to work in a team environment