Quantitative Modeling Specialist
4 weeks ago
We are seeking a highly skilled Quantitative Analyst to join our Markets Quantitative Analysis team in New York City.
The team is responsible for providing data analysis, developing quantitative models for projecting prepayment and default rates, and developing related analytics to assist trading and risk management of securitized sectors, including agency/non-agency RMBS, CMBS, and whole loan portfolios.
As a Quantitative Analyst, you will have the opportunity to learn and grow within this role, working with senior analysts and trading desks to develop and improve complex models, provide data analysis and trade ideas, and develop analytics to access enormous datasets to enable in-depth analysis of RMBS/CMBS/ABS securities.
Responsibilities:- Develop models using C++, Python, and SQL to price and assess risk on RMBS and CMBS securities.
- Write complex queries to analyze enormous mortgage datasets and provide analysis, reports, and historical performance trends.
- Develop web applications that allow traders to access underlying mortgage data to perform different types of analysis and run models on RMBS, CMBS, ABS securities.
- Review, verify, and maintain the highest quality of indicative data that feeds models and web applications that trading business heavily relies on.
- Work with various groups, including internal risk management, technology, model validation, and clients, for day-to-day issues and longer-term projects.
- Monitor RMBS/CMBS/ABS market activity and provide traders with updated market news and potential impact on collateral performance and market pricing.
- Graduate degree in Computer Science, Mathematics, or a Quantitative field of study.
- Strong programming skills in C++ and/or Python.
- Experience working with large datasets.
- High attention to detail.
- Good communication skills.
- Competitive salary range: $175,000 - $250,000.
- Discretionary and formulaic incentive and retention awards.
- Medical, dental, and vision coverage.
- 401(k) plan.
- Life, accident, and disability insurance.
- Wellness programs.
- Paid time off packages, including vacation, sick leave, and paid holidays.
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