Jason Le Email & Phone Number

New York, Ny, Us

New York, Ny, Us

Worldwide, Oo

• Formulated trades to implement investment activities in Rates, Securitized, and Corporates across $5 billion of assets under management• Searched for relative value in MBS, ABS, and CMBS by analyzing data from screening tool and determined suitable investments by stress-testing purchase candidates• Managed mortgage TBA collateral bucket which comprised high quality ABS and short-term US Treasury notes to generate additional carry return while still providing sufficient liquidity for the overall portfolio• Performed ongoing management of interest rate and credit risks across $1.8 billion of Core fixed income assets via both cash and derivative instruments• Built and stress-tested model portfolios for new mandates and prospects• Executed trades in US Treasuries, Agency MBS, and ABS, as well as provided insight into market activities and disseminated market intelligence. Developed and fostered relationships with counterparties in both Rates and Securitized spaces• Implemented and supported relative value models across US Treasury, Securitized, and Corporates sectors and ran statistical analyses on market data• Developed and maintained security surveillance for MBS and ABS, and modeled user instruments for esoteric ABS, CMBS, and CLO on Yield Book• Designed, implemented, and supported an integrated analytics database which housed securities analytics from multiple sources including the outputs of proprietary quantitative models• Produced strategy reports, performance attribution, and trade P&L• Functioned as liaison between senior portfolio managers and Compliance and Middle Office• Trained new associates in operation and policies

Boston, Massachusetts, Us

• Constructed trade orders and managed cash across more than 35 portfolios with complex guidelines• Updated custom benchmarks for the Liability Driven Investments (LDI) strategy using self-built optimization model• Analyzed market data through statistical methods and maintained relative value models• Reconciled BlackRock Aladdin’s analytics to Yield Book for the transition of risk analytics system. Worked diligently with BlackRock client service and modeling teams to configure Aladdin according to team’s requirements• Produced strategy, performance attribution, and client reports• Automated daily routines to streamline workflow for the investment team

Boston, Massachusetts, Us

• Minimized tracking error between a model portfolio of Treasury/Corporate securities and the FTSE (then Citi) Pension Liability Index• Produced ad-hoc reports for the LDI team

Brooklyn, Ny, Us

• Wrote MATLAB programs to simulate multi-channel fiber optics transmission line• Conduct experiments in digital fiber optics transmission line, open-cavity and fiber lasers, and holography• Managed laboratory equipment