Overview
Bayview Asset Management, LLC seeks a Senior Investment Analyst in our New York, NY office to manage valuation and hedging of Non-QM portfolio covering Investor DSCR and Bank Statement mortgage loans (asset size > 1.2 bn). Responsibilities include:
- Data management, model valuation, risk management, performance analysis, and attribution.
- Responsible for monthly mark-to-market valuation, hedge performance attribution, and P&L reporting for Non-QM loan portfolio.
- Collaborate with accounting and valuation teams in communicating and reconciling portfolio marks.
- Manage daily interest rate risk and track hedge effectiveness of the company’s different mortgage and credit portfolios.
- Work closely with the whole loan acquisitions team in managing and reporting of daily pipeline.
- Assist trading team in carving out loan population and run pricing analysis for regular whole loan sales.
- Leverage structuring tools such as Intex to perform securitization execution analysis on Non-QM portfolio.
- Assist in building out surveillance and performance reporting of Non-QM portfolio.
- Conduct regular portfolio analysis and work with internal modeling team to analyze performance using tools such as Python, CAS, SQL Server Management Studio, Excel, VBA, etc.
- Work with research and trading team to incorporate regular model changes and perform impact analysis on loan portfolio's valuation and interest rate risk profile.
- Research current trends in financial markets to gain business intelligence in matters such as Residential Whole Loans Trading, Securitization Markets & Rating Agencies, and Interest Rates Derivatives (EDFs, Swaps, Treasury Futures etc.) so that effective strategies can be put in place.
- Perform ad-hoc analysis and reporting on credit portfolios liaising with other teams like accounting, structuring, etc. and improve operational efficiency, minimize operational risks by fully integrating the pieces of the valuation framework by automating risk reports, valuation runs processes.
Minimum Requirements:
Master’s degree or foreign degree equivalent in Finance, Financial Engineering, or related field and four (4) years of experience as a Financial Analyst, Trade Analyst, Investment Analyst, or related position, specifically with each of the following:
- Data analysis and financial modeling.
- Quantitative and Statistical analysis using Python, R.
- Financial modeling including cashflow modeling and risk analysis in Excel and VBA.
- Trading platforms including both Bloomberg and Yield Book.
- Market data tools including both Intex and Numerix.
- Financial software including one or more of the following: Python, SQL, CAS, Excel, VBA, Intex, Numerix.
Salary: $133,250/year
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