Structured Product Data Analyst

Company: Bracebridge Capital, LLC
Location: Boston, MA
Posted on: November 8, 2015

Job Description:

Structured Products Data Analyst will research and analyze underlying data

in a variety of structured products assets in the US and Europe, and apply

this data to the modeling of assets to assess risk and identify investment

and hedging opportunities. Will work closely with traders to evaluate

investment decisions, design and maintain proprietary systems, monitor

asset performance, and provide traders with detailed analytics. The

Structured Products Data Analyst will apply their technical skills and

market experience within the structured products asset domains to calibrate

existing models, identify instances of mis-modeling, and create and test

new models to provide nuance insights about the portfolio to senior

investment professionals. In addition, will also work continually monitor

and evaluate the risk of the investment portfolio and share this insight

with traders.

Education and Experience

Bachelor’s degree in Mathematics, Applied Mathematics, Mathematical Finance

or Engineering and one (1) year of experience in job offered or one (1)

year of experience in investment and risk analysis of structured products

within a hedge fund trading environment.

Special Requirements:

1. Demonstrated expertise performing cashflow waterfall analysis and

modeling of European and US structured products --US-Subprime Residential

Mortgage Backed Securities (US Subprime), Credit Risk Transfer (CRT),

Single Family Rentals (SFR), Home Equity Lines of Credit (HELOC), Closed-

End Seconds (CES), UK Non-Conforming Residential Mortgages, European Prime

RMBS, European Small to Medium Enterprises (SME), European Receivables-- to

identify modeling errors by reconciling the model with waterfall language

in governing documents.

2. Demonstrated expertise generating, simulating and calibrating mortgage

models -- Markov Chain transition models, of European and US structured

products to generate portfolio risk reports that identify portfolio wide

sensitivities to risk factors -- interest rate, collateral deterioration,

and housing prices.

3. Demonstrated expertise gathering, reconciling and analyzing Key

Performance Metrics -- defaults, prepayments, delinquencies, recoveries,

and deal triggers -- of European and US structured product assets from

investor reports on trustee websites, including writing SQL scripts and

objected oriented programming to automate the data retrieval.

4. Demonstrated expertise performing objected oriented programming (C++,

C#), database scripting (SQL), statistical programming and modeling (R and

Matlab), and programmatically calling Intex Wrapper to generate automated

portfolio risk reports that incorporates Key Performance Metrics from

external data sources -- Loan Performance, Edwin, Bloomberg.

To apply, please visit the Careers section of www.bracebridgecapital.com

and refer to the posted Structured Product Data Analyst position.

Keywords: Bracebridge Capital, LLC, Boston , Structured Product Data Analyst, Finance , Boston, MA, Massachusetts