Fixed Income Risk Analysts day to day activities?

Can anyone shed some light on what a general day might be like for a fixed income risk analyst - specific to the mortgage sector?

The job description / specific skills that I wanted more detailed elaboration on were how they monitor capital markets liquidity and credit risk. Then it also said being comfortable with measurements like duration, convexity, var, and stress testing.

Any further detailed elaboration would be helpful, I imagine fixed income research analysts for fund managers probably go through some type of similar process too as someone that would work for a secondary market provided?


Is this a true risk management position, or something else that is called “risk analyst” for administrative reasons? Anyway, if it’s the former, someone decides what measures and limits should apply to a business activity, you press shift f9 a lot, and go well at people when they go over the limit.

I was a mortgage security analyst for PIMCO (you may have heard of them) for six years.

My primary duties were:

  • Developing prepayment models for residential mortgages
  • Upgrading their mortgage analytics
    • Rewriting the software for parallel processing (using multiple processors on individual computers, as well as multiple computers)
    • Improving the algorithms for computing OASs
    • Improving the graphical interfaces for the mortgage models
      • Including 3D graphs (surfaces)
      • Improving the interactive interfaces (real-time scaling, rotation, and so on)
    • Adapting mortgage analytics to (fairly exotic) CMO tranches
  • And so on

He’s asking about a risk role S2000. Stay out of the glendronach for a while :wink:

Image result for old men yelling at clouds

Unfortunately, many of the industry standard risk metrics are already specified and vetted at a high level. An increasing proportion of this reporting is mandated by regulators to follow some standard like CCAR or Basel related rules. So, the job of risk analysts is often to fulfill these prescribed operational guidelines, rather than to creatively contribute to the risk management process.

A job outline would be useful in determining the actual day-to-day responsibilities of this job.