Valuations / BI Analyst

About

Do you enjoy working with numbers - evaluating real estate?

We are searching a Valuations / BI Analyst to straddle data analytics/engineering and valuations of MBS portfolios/investments.

Responsibilities

Valuation & Pricing

• Perform and oversee daily fair-value pricing across the company’s securities, debt, and derivatives portfolios to support the Trade Desk, Risk Management, and Financial Reporting teams.
• Develop and maintain valuation models for mortgage-backed securities, related mortgage investments, and derivatives.
• Review prepayment projections from third-party models to ensure accuracy and integrate them into risk and accounting forecasts.
• Carry out financial modeling and forecasting, including interest rate and spread shock scenarios, as well as sensitivity analyses.
• Communicate market developments and fixed income insights with internal teams such as the Trade Desk, Middle Office, and Financial Reporting.

Data Engineering & Automation

• Design, maintain, and enhance Python-based data pipelines that pull from external APIs, internal databases, pricing vendors, and proprietary data sources.
• Create and verify finalized Parquet datasets that underpin Power BI dashboards.
• Streamline and automate recurring valuation and reporting workflows on daily, monthly, and quarterly cycles.
• Establish strong data validation processes and error-handling mechanisms within data pipelines.

Reporting & Analysis

• Prepare regular reporting packages (daily, monthly, quarterly) for internal stakeholders and external/regulatory requirements.
• Track and communicate trends and changes in pricing.
• Stay informed on market conditions through research and ongoing collaboration with trading desks, pricing providers, and external partners.

Controls & Compliance

• Ensure strong internal controls over financial reporting in line with SEC and other regulatory standards.
• Work with internal and external auditors on valuation and prepayment-related reviews.
• Support special projects that require expertise in financial valuation.

Qualifications

Minimum Requirements

• At least one year of experience in software or data engineering.
• A bachelor’s degree in Computer Science, Engineering, Mathematics, Statistics, or a similar quantitative discipline.
• Strong skills in Python, particularly with data engineering tasks such as working with APIs, handling file input/output, transforming data, and managing data pipelines.
• Basic proficiency in SQL for querying relational databases and data warehouses.
• Familiarity with column-based data formats (like Parquet) and business intelligence tools such as Power BI.
• Solid analytical thinking and problem-solving abilities, with careful attention to detail.
• A real interest in learning about fixed income markets, mortgage products, and financial valuation principles.

Preferred Qualifications

• Background in financial services, fintech, or a quantitative research setting.
• Knowledge of mortgage-backed securities, agency TBA securities, and interest rate derivatives.
• Strong analytical capability and comfort working with complex financial concepts such as discounted cash flows (DCF), option-adjusted spread (OAS), duration, convexity, spreads, and valuation techniques.
• A master’s degree in Finance, Financial Engineering, Computer Science, Mathematics, or a related field.
• CFA or FRM certification, or progress toward earning one of these credentials.
• Experience using Bloomberg Terminal and Excel APIs.
• Understanding of mortgage prepayment modeling.
• Familiarity with cloud-based data warehouse platforms.
• Hybrid Role (2 days in the office)