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Agency MBS Quantitative Strategist

3 months ago

New York, United States Selby Jennings Full time
Job Description: Quantitative Strategist - Agency Mortgage-Backed Securities (MBS)
Location: New York
Department: Centralized Mortgage Strats Team
Position Type: Full-Time
About the Firm:
Join a top-tier multi-manager hedge fund known for its collaborative culture and innovation-driven investment strategies. We specialize in a wide range of asset classes and are committed to delivering exceptional returns for our clients.
Role Overview:
We are seeking a highly skilled Quantitative Strategist with expertise in Agency Mortgage-Backed Securities (MBS). The ideal candidate will support our centralized mortgage team by deploying centralized capital, conducting sophisticated modeling and research, and directly assisting Mortgage and Fixed Income Portfolio Managers (PMs) in prepayment analysis and P&L generation.
Key Responsibilities:
  • Centralized Capital Deployment:
    • Collaborate with the centralized mortgage team to effectively deploy capital across agency MBS strategies.
    • Identify and analyze investment opportunities within the agency MBS sector, focusing on maximizing risk-adjusted returns.
  • Quantitative Modeling & Research:
    • Develop and maintain advanced quantitative models for agency MBS, focusing on prepayment, interest rate risks, and other critical factors.
    • Conduct research to support investment decisions, including the development of new strategies and the enhancement of existing models.
    • Collaborate with Mortgage and Fixed Income PMs to implement research insights into trading strategies.
  • Prepayment Analysis:
    • Perform detailed analysis of prepayment speeds and trends, integrating findings into the overall portfolio strategy.
    • Utilize predictive analytics to forecast prepayment behavior and its impact on portfolio performance.
  • P&L Generation:
    • Work closely with PMs to optimize portfolios for P&L generation, ensuring alignment with broader fund objectives.
    • Monitor and evaluate portfolio performance, making recommendations for adjustments based on market conditions and model outputs.
  • Collaboration and Communication:
    • Act as a key liaison between the centralized mortgage team and various PMs, ensuring seamless communication and strategy alignment.
    • Present findings and recommendations to senior management, contributing to the decision-making process.
Qualifications:
  • Advanced degree (Master's or Ph.D.) in a quantitative field such as Mathematics, Statistics, Financial Engineering, or a related discipline.
  • 3+ years of experience in a quantitative role with a focus on agency mortgage-backed securities.
  • Proven experience in developing and implementing quantitative models for MBS prepayment, interest rate risks, and other related factors.
  • Strong programming skills in languages such as Python and C++ with experience in handling large datasets.
  • Excellent communication skills, with the ability to translate complex quantitative insights into actionable strategies.
  • Ability to work collaboratively in a fast-paced, dynamic environment.
What We Offer:
  • Competitive compensation package with performance-based bonuses.
  • Opportunities for professional growth and development within a leading hedge fund.
  • A collaborative and intellectually stimulating work environment.
  • Access to cutting-edge technology and resources to support your success.
Application Process:
Interested candidates are encouraged to apply with a resume and cover letter detailing their relevant experience and interest in the role.