Our client's Risk Technology group has embarked on an ambitious project for building a cutting edge risk scenario and valuation framework for the MBS businesses using Polypaths pricing/risk engine. There are currently multiple MBS trading units within different business entities (prop trading, broker dealer side, portfolio management, etc.) some also distributed geographically which use Polypaths as their analytics/risk engine.
The primary function of the business analyst will be to gather requirements from risk managers both at a local and enterprise level and come up with functional and technical requirement documentation that can be delivered to the development team. The role expects comfort in different MBS products and basic pricing and risk techniques. The BA will drive the project from concept to production, educate the rest of the technical team members, crystallize and document project artifacts precisely, provide ongoing support and guidance as a point-person, and help with testing of system under development.
Experience: Core Competencies:
.Must possess 7+ years of industry experience in business analysis, at least 5 of which should be in the Capital Markets industry dealing in fixed income securities, risk management and/or related technologies.
.Sound understanding or exposure to securitized products (MBS, ABS, CMBS), pricing and models, structures, risk management/hedging, VAR, PnL attribution, is necessary. CFA or FRM certifications or formal education in Financial Engineering or any other professional certification in the areas of finance or risk/analytics would be a strong plus.
.Prior risk analytics technology exposure e.g. with systems and models such as Polypaths, Derivative Solutions, Yieldbook, Infinity, Intex, Trepp, AFT (espiel) or similar in-house OAS/risk systems is a strong plus. Knowledge of data vendors/tools such as Bloomberg, Reuters, iVolatility, and understanding of their data is desirable.
.Some familiarity with Excel VBA, C# / .Net SQL server, and testing tools such as Mercury WinRunner and HP QTP is desirable.
.Must be able to communicate effectively with risk managers, analysts and quants and translate their requirements into system design specifications. Excellent documentation and technical writing skills along with proficiency in MS Word, Excel, Project, Visio, PowerPoint, etc. is required.
.Must have at least a Bachelor's degree in finance, engineering, science, or math.
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