Reference #: W5363
Support the corporate bond portfolio analysis for a leading financial institution
- Analyze Corporate Bond portfolio for investment and hedging purposes. Understands all bond features such as calls, puts and sinking funds.
- Develop a corporate credit analysis framework for the firm, providing input on items such as concentration guidelines, internal ratings and risk limits.
- Serves as internal expert on bond market trends and product features.
- Responsible for managing and presenting departmental analyses to mid-level management. May work in product development, ALM or Modeling Support and will participate in the research, design and implementation of trading/hedging strategies, as well as general quantitative modeling thought leadership.
- Consults with practitioners, the academic community and other financial institutions in researching the development of risk management models for new and existing products.
- Applies knowledge of quantitative finance, actuarial science and/or scientific computing.
- Responsible for overseeing the development of various analytic models, which may include sensitivity analyses, stress testing, value-at-risk, scenario testing and Monte Carlo simulations in both a Risk-Neutral and Real-World framework.
- 7+ years financial Services experience supporting enterprise quantitative risk and hedging programs
- Extensive experience with commercial credit analysis software such as Risk Frontier, CreditEdge or RiskCalc. FinCAD experience also desirable.
- Excellent understanding of investment and finance concepts and be able to creatively apply them in solving analytical problems in the business setting.
- Excellent presentation & communication skills
- Graduate degree in mathematics, actuarial science, finance or related field preferred