Quantitative Researcher

1 month ago


New York, New York, United States Selby Jennings Full time

**Job Summary**

We are seeking a talented Quantitative Researcher to join our team in New York. The ideal candidate will have a strong focus on developing agency prepayment models and a keen interest in structured products.

**Key Responsibilities:**

  • Develop, enhance, and maintain agency prepayment models.
  • Conduct in-depth research on mortgage-backed securities (MBS) prepayments and performance.
  • Analyze large datasets to identify trends, behavioral factors, and key drivers of prepayment.
  • Collaborate with portfolio managers and senior researchers to integrate models into the investment process.
  • Regularly backtest models, ensuring their accuracy and performance in various market conditions.

**Qualifications:**

  • 1-4 years of experience in agency prepayment modeling, preferably within the MBS or structured products space.
  • Advanced degree in a quantitative field (e.g., Mathematics, Statistics, Engineering, Computer Science, or related field).
  • Strong programming skills in Python, R, or other relevant languages.
  • Familiarity with statistical modeling, machine learning techniques, and large-scale data analysis.
  • Solid understanding of mortgage-backed securities, especially agency MBS derivatives and CMOs.

**Preferred Skills:**

  • Experience working with prepayment data and vendor models (e.g., Intex, Bloomberg).
  • Familiarity with structured products and fixed income strategies.
  • Experience in quantitative research at a financial institution or hedge fund.

**Benefits:**

  • Competitive compensation and performance-based bonuses.
  • Opportunity to work in a highly collaborative and intellectually stimulating environment.
  • Exposure to advanced modeling techniques and tools within the structured products space.


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