• Conduct extensive analysis on CMBS BB/B and CLO BBB/BB spreads from several different vintages, determining significant trends and correlations among tranches
• Compile daily margin reports for each counterparty on derivative swaps, allowing for increased efficiency in both issuing and satisfying margin calls
• Perform daily analysis on dollar duration values for agency MBS/treasury futures, resulting in more accurately hedged trading strategies
• Develop default model using S&P guidelines and historical loan data, creating more informed purchases of newly originated loans and strengthened asset pool for securitization