Reverse-engineer MBS/RMBS/CMBS/ABS deal structures from term sheets, offering circulars and payment rules.
Build collateral, bond and waterfall models, including triggers, OC/IC tests, shifting interest and principal-allocation rules.
Required Candidate Profile:
- 6+ years in structured-finance modeling.
- Robust Python and knowledge of at least one of Agency MBS, CMBS, ABS or CLOs.
- Ability to interpret transaction documents and translate waterfalls into code.
Key Skills:
- Fixed Income, Structured Products, SQL, Cash Flow Modeling, Python, Securitization, FRM, Model Validation, RMBS, Risk Modeling, Structured Finance, Quantitative Analysis, Fixed Income Securities, CMBS, MBS, CFA