Quantitative Researcher
1 month ago
**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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