Mortgage Valuations

About the Company

The team is responsible for front-to-back pricing integrity, P&L production, and valuation infrastructure across global fixed income markets including Rates, Credit, Mortgages, and FX (cash and derivatives). This is a highly technical, market-data–driven role operating at the intersection of pricing systems, quantitative analytics, and trading infrastructure, with direct exposure to Portfolio Managers, Risk, Trading Services, and Engineering teams. The role focuses on ensuring accurate, explainable, and production-grade pricing and P&L, while also enhancing the underlying valuation models, market data pipelines, and analytics tooling that support intraday and end-of-day valuation processes.

About the Role

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Responsibilities

• Pricing Engine Ownership & Market Data Calibration
• Own and support intraday and EOD pricing workflows across Rates, Credit, FX, and related derivatives
• Validate and challenge prices using market data feeds, curves, comparable instruments, and model outputs
• Monitor and reconcile pricing differences across internal systems, vendors, and trading platforms
• Support curve construction, interpolation, and market data normalization processes
• Ensure pricing consistency across cash instruments, derivatives, and structured credit products
• P&L Production, Attribution & Analytics
• Produce and validate Trade Date and T+1 P&L at position, strategy, and portfolio level
• Perform P&L attribution analysis, decomposing moves into:
• Market move / curve shift
• Carry & roll-down
• Spread / basis movement
• Trade effects and positioning
• Build and maintain diagnostics for unexplained P&L breaks, valuation shifts, and risk sensitivities
• Support ad-hoc deep dives into performance drivers for Portfolio Managers and senior stakeholders
• Quantitative Valuation & Model Support
• Support and enhance pricing models for rates, credit, and FX instruments
• Work with Risk and Quant teams on valuation methodology improvements and model validation
• Apply risk sensitivities (DV01, CR01, FX delta, gamma, vega) to explain valuation changes
• Contribute to refinement of discounting curves, forward curves, and spread models
• Assist in benchmarking internal models against external pricing sources and market conventions
• Data Engineering, Market Data & Tooling
• Work with large-scale time-series market data sets for pricing, curves, and trade-level analytics
• Build and maintain Python/SQL-based tooling for pricing validation, P&L analytics, and diagnostics
• Enhance automation of EOD pricing workflows and reduce manual reconciliation effort
• Develop systematic checks for:
• Market data quality
• Curve movements
• Pricing outliers
• Model deviations
• Partner with Technology to improve pricing infrastructure, data pipelines, and reporting systems
• Front Office Interface & Issue Resolution
• Act as a key point of contact for Portfolio Managers on pricing, valuation, and P&L queries
• Investigate and resolve pricing breaks, trade discrepancies, and valuation disputes
• Coordinate across Risk, Trading Services, Technology, and external vendors to drive issue resolution
• Provide clear, structured explanations of valuation changes under tight EOD deadlines

Qualifications

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Required Skills

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Preferred Skills

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Pay range and compensation package

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Equal Opportunity Statement

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