Quantitative Analyst
1 month ago
Quantitative Analyst Lead
180-375k
Hybrid in NYC
This position will be part of the Mortgage Model Development Group that will focus on mathematical concepts and programming. The group manages all quantitative modeling related to market and interest rate risk on the bank’s mortgage products including consumer banking mortgage activities, trading activities and investment portfolio positions in mortgage products.
In this role you will:
Implement interest rate models, mortgage prepayment models, mortgage default models, derivative valuation models, hedging strategies, and horizon forecast models to support various mortgage business.
Implement and enhance the firm’s proprietary quantitative library in C++
Generate, test, implement, and deploy ideas to improve system performance or team productivity
Improve the safety and reliability of the library
Partner constructively in collaboration with business, model development, model validation, and IT
Required
5+ years of Quantitative Analytics experience (Mortgage-related)
Master's degree or higher in a quantitative discipline such as mathematics, statistics, engineering, physics, economics, or computer science
Desired
2 At least 2 years of C++ experience
At least 2 yrs experience applying advanced mathematics in problem solving
Experience in vendor model, solution, or platform - Polypaths, ADCo, Intex, QRM, Bloomberg, Yieldbook Experience with large scale library development
Experience with multi-threading and asynchronous event-driven programming
Experience with computer programs including, SQL and VBA
Knowledge and understanding of interest rate derivatives models and mortgage analytics
Knowledge of Derivatives valuation
Requirements
5+ years of Quantitative Analytics experience (Mortgage-related)
Master's degree or higher in a quantitative discipline such as mathematics, statistics, engineering, physics, economics, or computer science
Benefits
180-375k
Medical, Dental, Vision
6% 401k match, 144 hours of up-front PTO
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