Quantitative Associate, RMBS

4 weeks ago


Dallas, United States Bluestone Search Full time

Our client, a Private Credit fund based in Dallas, TX, is looking for a Quantitative Associate to support the growth of its residential whole loan and securitization fund. The team focuses on structured finance, distressed debt, and real estate assets. This is a great opportunity for individuals with a quantitative finance background in the MBS space to join a growing, boutique fund.

Responsibilities

  • Provide quantitative analysis on mortgage performances to assist trade decisions. Analysis primarily includes loan level pricing, loan level performance data, default, prepayment, and loss severity data
  • Actively engage in all aspects of trading related to U.S. residential mortgages and broader securitized products, encompassing bid assessment, acquisition, disposition, and securitization
  • Scenario analysis, sensitivity testing, and back testing
  • Build out pricing tools, assist in valuations, and analyze macro indicators in the residential market
  • Work alongside trading, due diligence, closing, capital markets, finance, and similar functions

Qualifications

  • Master's degree in Computer Science, Mathematics, Engineering, or similar
  • 3+ years of relevant experience in a quant analyst position or similar role
  • High proficiency in Python (NumPy, Pandas, scikit-learn, etc.)
  • Statistical modelling experience, ie. monte carlo simulations, black-scholes modeling, etc.
  • Proven experience working in structured finance, especially around mortgage-backed securities (RMBS, CMBS, ABS, CLO, CDO, etc.)
  • Demonstrate excellent attention to detail and communication skills


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