Fixed Income Valuation Manager
Lending Club (NYSE: LC) opened in 2007 with one simple mission: create a more efficient, transparent and customer-friendly alternative to the traditional banking system that offers creditworthy borrowers lower interest rates and investors better returns. Today, we’re the world’s largest online credit marketplace, and we’re radically changing the way lending operates. We’re proud of the recognition we’ve received, including being named a World Economic Forum Technology Pioneer, a CNBC Disruptor 50, and one of The World’s 10 Most Innovative Companies in Finance by Fast Company. We’re conveniently located in downtown San Francisco, California
Lending Club is looking to hire an experienced Fixed Income Valuation Specialist to be a part of the Accounting/Finance team. This is a critical role for supporting the accurate valuation of Lending Club’s expanding line of fixed income products held on the Corporate balance sheet, servicing rights for fixed income products serviced for others and other valuation requirements. This is a highly quantitative, individual contributor role.
- Support/perform valuations of various types of consumer and small business loans, securities, and servicing rights
- Maintain and implement recurring updates to Lending Club’s valuation models; maintain valuation model documentation.
- Model, analyze, validate and implement enhancements to Lending Club’s valuation assumptions, methodologies and practices in concert with team members and other teams.
- Conduct valuation analytics within and across portfolios and identify drivers of valuation changes
- Partner with Lending Club’s Risk Management team to implement high quality default and prepayment forecasts for use in valuations.
- Routinely analyze and explain key changes in valuations against performance expectations.
- Identify and analyze valuation drivers in valuation sensitivity analyses.
- Provide support to consultants on valuation consulting assignments, periodic validation of valuation models and periodic independent valuation benchmarking
- Support and respond to reviews of valuation models, processes and results by internal and independent auditors.
- Further the quantitative and fixed income expertise of the team.
The ideal candidate will have the following qualifications:
- Strong quantitative skills.
- Master’s degree or equivalent training in a quantitative discipline.
- 4-7 years of applied experience, preferably in the financial services industry.
- Strong knowledge of principles of fixed income analytics including yield/price/return analyses, credit risk and prepayment modeling, option-adjusted spread analytics, relative value analysis and portfolio modeling.
- Experience with fixed income cash flow modeling and approaches to discounting cashflows.
- Experience with statistical applications, preferably in the context of credit risk modeling and/or fixed income valuation.
- Understanding of the relationship between delinquencies, roll rates and borrower default probabilities.
- Understanding of the drivers of borrower prepayment behavior.
- Experience in using, building, reviewing, validating and/or implementing fixed income models.
- Experience in SQL and one of SAS, R or other equivalent data analytic tools.
- Ability to perform as an individual contributor and partner effectively with other members of a team.
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