MSR Hedging Analyst
Company Name:
BB&T Corporation
F/T MSR Hedging Analyst (Winston-Salem, NC) Maintain/troubleshoot/enhance internal interest rate derivatives risk system. Assist senior trader in tracking/analyzing market and executing trades. Work with the Asset Valuation team to best represent the Asset Risk to be hedged so that the hedging program is run optimally, work with middle/back office to ensure proper trade valuation and P&L. Maintain and enhance internal interest rate derivatives risk management system using FINCAD Excel add-in functions, including mark-to-market, parallel rate shocks, key rate durations, horizon analysis, vega risk, basis risk, P&L attribution. Utilize QRM and other analytics to model mortgage hedging instrument risk profiles. Assist senior Trader in designing and executing interest rate derivative hedge transactions. Carry out projects: Scenario analysis, historical look back analysis, hedging trade performance tracking. Assist Middle Office and Oversight in the areas of P&L, Risk Reporting, and VaR assessment. Track market indices (yield curve, spreads, volatility, skew, mortgage risk metrics). Incorporate dealer insights and research to internal reporting and analytics. Must have a Masters degree in Financial Engineering, Mathematics, Economics, or higher level quantitative discipline. Educational or work background must include financial modeling, scenario analysis, VaR estimation, asset valuation/pricing, risk management and reporting, probability, derivatives, debt markets, multivariate statistics, financial economics, MSOffice, Visual Basic, and C++. Send resume to Lisa Hedgpeth, Assistant VP/Employee Relations Ops. Manager, BB&T Corporation, 223 West Nash Street, Wilson, NC 27893Estimated Salary: $20 to $28 per hour based on qualifications.
BB&T Corporation
F/T MSR Hedging Analyst (Winston-Salem, NC) Maintain/troubleshoot/enhance internal interest rate derivatives risk system. Assist senior trader in tracking/analyzing market and executing trades. Work with the Asset Valuation team to best represent the Asset Risk to be hedged so that the hedging program is run optimally, work with middle/back office to ensure proper trade valuation and P&L. Maintain and enhance internal interest rate derivatives risk management system using FINCAD Excel add-in functions, including mark-to-market, parallel rate shocks, key rate durations, horizon analysis, vega risk, basis risk, P&L attribution. Utilize QRM and other analytics to model mortgage hedging instrument risk profiles. Assist senior Trader in designing and executing interest rate derivative hedge transactions. Carry out projects: Scenario analysis, historical look back analysis, hedging trade performance tracking. Assist Middle Office and Oversight in the areas of P&L, Risk Reporting, and VaR assessment. Track market indices (yield curve, spreads, volatility, skew, mortgage risk metrics). Incorporate dealer insights and research to internal reporting and analytics. Must have a Masters degree in Financial Engineering, Mathematics, Economics, or higher level quantitative discipline. Educational or work background must include financial modeling, scenario analysis, VaR estimation, asset valuation/pricing, risk management and reporting, probability, derivatives, debt markets, multivariate statistics, financial economics, MSOffice, Visual Basic, and C++. Send resume to Lisa Hedgpeth, Assistant VP/Employee Relations Ops. Manager, BB&T Corporation, 223 West Nash Street, Wilson, NC 27893Estimated Salary: $20 to $28 per hour based on qualifications.
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