Valuations Controller - Agency MBS/RMBS - Bank

A Leading foreign bank is looking at candidates with experience in valuations control for MBS and RMBS.

The successful candidate will be expected to have:

- Expert level of knowledge in Agency MBS and Non-Agency RMBS. Strong understanding of valuation inputs, deal structure, waterfalls, cashflow triggers, loan origination process, liquidation process, pricing models, servicing, market trends, technical factors, government actions that impact valuation, collateral characteristics and their impact on the pricing of the security.

- Strong Knowledge of atleast 1 more of the following asset class: CMBS, CLOs, TruPs, ABS (Consumer and Non Consumer), ARS.

- Ability to construct/build simple to intermediate pricing models using economic macro and micro level data to allow projection of future defaults, prepayments, severities and other key valuation drivers

- Ability to develop alternative valuation and estimation techniques by using limited market color.

- Prior experience in working with traders, risk groups and management in addressing valuation issues and others.

- Have expertise in understanding deal documents, market research and their application on the portfolio.

- Engage with the group head and product leads on new business transactions to identify requirements and impact on the portfolio's valuation process.

- Have an understanding of accounting standards such as FAS 157, FAS 166 and other conventions such as Mark-To-Market (MTM), Available for Sale, Held to maturity and practical application of these. Keep up with changes in MTM accounting.

- Ability to multitask and work independently. Willingness and capability to build and maintain a solid control environment.

- Expert level working knowledge of Microsoft Excel, Bloomberg and Intex.

Basic Qualifications:

- Masters degree in Finance, Math, Economics, Engineering or an MBA.

- 4-6 years of relevant experience. Bachelors in these fields would be acceptable with very strong relevant experience.

Other Qualifications:

- Advanced experience in using Intex, Polypath, and/or Bloomberg.

- Very good Excel skills required

- A strong communicator, with a good understanding of the valuation of structured products, and an appreciation of the relationship between market risk exposure, valuation and P&L

- Very strong writing skills.

- CPA and/or CFA (or current candidate)

- A lateral thinker experienced in being part of cross product / cross functional project teams

- Attention to detail, strong team player, willing to perform some reporting work for management