eFinancialCareers

• Company

  BlackRock Inc.

• Location

  USA-NY-New York City

• Compensation

  not disclosed

• Position Type

  Employee

• Employment type

  Full time

• Updated

  06 Jan 2009

• eFC Ref no

  398992

See job description below

Head of MBS/ABS Risk Management, Research & Quantitative Analysis

The candidate will serve as the point person responsible for the risk oversight of mortgage-backed & asset-backed securities (MBS/ABS) and report to the Head of Fixed Income Risk Management. He/she will analyze large books of agency and non-agency mortgage backed positions. Focus is on strategy, relative value, portfolio applicability, liquidity and market risk. Additionally, the candidate will be the liaison between portfolio managers, the risk management team, and the prepayment and default modeling teams. The role will require an excellent articulation of these risks, market developments, and analytical issues to both portfolio managers and the risk management group. The candidate will also need to become an expert user of BlackRock prepayment and credit models, come up with meaningful model assumptions, articulate areas of improvement and help resolve and monitor fixes.

The ideal candidate should have 10 years experience as a risk manager/strategist and 3 years as a trader / portfolio manager in the MBS/ABS sector. Practical experience is a must. Aptitude with prepayment and mortgage credit models is a must. The candidate should have a strong quantitative background, but strong focus on practical solutions to portfolio and risk management issues. Proficiency with excel is a must. Light programming in scripting language (perl) and statistical packages (SAS, Splus, Matlab, etc) is a plus.

Strong verbal and written communication skills are a must.