Quantitative Analyst

2 weeks ago


New York, New York, United States Selby Jennings Full time
Quantitative Analyst - Agency MBS Modeling

We are seeking a highly skilled Quantitative Analyst to join our team in New York. As a Quantitative Analyst, you will be responsible for developing and maintaining agency prepayment models, conducting research on mortgage-backed securities, and analyzing large datasets to identify trends and key drivers of prepayment.

Key Responsibilities:
  • Develop and enhance agency prepayment models to optimize investment decisions.
  • Conduct in-depth research on mortgage-backed securities to stay up-to-date on market developments and regulatory changes.
  • Analyze large datasets to identify trends and behavioral factors affecting prepayment.
  • Collaborate with portfolio managers and senior researchers to integrate models into the investment process.
  • Regularly backtest models to ensure 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, such as Mathematics, Statistics, Engineering, or Computer Science.
  • 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.
  • 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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