Quantitative Researcher, Mortgages

Found in: Talent US C2 - 2 weeks ago


New York, United States Squarepoint Capital Full time

Squarepoint Services US LLC seeks a full-time Quantitative Researcher, Mortgages for its New York, NY location.

Duties: On behalf of an investment management organization, conduct systematic alpha research on Mortgage-backed Security (MBS) products, with a primary focus on idea generation, data gathering and analysis, model implementation and back-testing. Develop and deploy machine learning models for signal generation and portfolio optimization. Assist senior portfolio managers in MBS Specified Pools trading, hedging and risk management. Build out and manage KDB+/Q based tools for trading infrastructure, risk management systems, portfolio monitoring and trade execution. Enhance Python-based strategy back-tester, onboarding new products and adding new features. Evaluate new datasets for alpha potential. Maintain and troubleshoot the trading systems.

Requirements: Minimum of a Master’s degree or foreign equivalent in any Science, Technology, Engineering, or Mathematics (STEM) field of study and at least two (2) years of experience as a Quantitative Researcher, VP, or a related occupation for a financial services/investment management/investment banking organization. Must have at least two (2) years of employment experience with each of the following required skills: (1) Assisting senior portfolio managers in Mortgage-Backed Securities (MBS) trading and hedging; (2) Conducting alpha research on MBS specified pools and TBAs (to-be-announced) and evaluating datasets for alpha potential; (3) Developing machine learning models for signal generation; (4) Developing and enhancing mortgage prepayment models; (5) Building out and managing KDB+Q tools for trading and portfolio monitoring; (6) Developing and back testing trading strategies in Python environment; (7) Assisting portfolio managers in MBS with portfolio construction and optimization; (8) Developing and maintaining risk reports for portfolio monitoring

Salary / Rate Minimum/yr: : $130,000

Salary / Rate Maximum/yr : $225,000

The minimum and maximum salary/rate information above include only base salary or base hourly rate. It does not include any other type of compensation or benefits that may be available.

Squarepoint is an EEO/AA employer.


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