A unique opportunity to complete risk analytics for Asset Backed Securities - modeling likelihood of prepayments and impact on asset values.
- Develop and maintain models to simulate the yield and prepayment of asset backed securities and in particular mortgage-backed securities.
- Work closely with clients in the Tokyo market ensuring they are able to utilize the models effectively. Look for ways to adapt and improve the models according to the client's requirements.
- Work closely with internal teams including developers, data managers and sales to ensure the competitiveness of the organisation in Japan.
- Support the model validation process.
- Provide commentary on the markets for internal teams and clients. Analyse market trends and analyse impacts on ABS products.
- Master's degree or more in a quantitative field: science, mathematics, statistics, engineering
- Deep knowledge of Japanese ABS and in particular mortgage products.
- Native level Japanese and business English.
About our client
Global financial institution that produces fixed-income analytical systems to both buy-side and sell-side institutions.
Morgan McKinley Asia Pac is acting as an Employment Agency in relation to this vacancy.