We are currently working with a large financial institution that is launching a greenfield derivatives platform from scratch. This will be a cross-asset platform but the business is commencing the initiative by tackling Fixed Income Derivatives.
As a result, they are looking to hire an experienced Quantitative Modeler with expertise in Mathematics, one of the following products (RMBS, CLO, CMO's, CDO's), and C++ programming. This person would be one of the first few hires within the team and would be joining an incredibly passionate, entrepreneurial and collegial group of quantitative professionals within the space.
Responsibilities:
- Develop and research pricing models for Mortgage Backed Securities
- Develop statistical methods to project prepayment for agency/non-agency MBS/ABS
- Implement models into the businesses new firm wide cross asset library
- Collaborate with senior leadership on a weekly basis to discuss best practices in regards to model implementation and research
- Interview prospective hires for the continued expansion of the group
Requirements:
- 3+ years of experience working on a Front Office Mortgage and/or Credit Quant team (RMBS, CDS, CLO, etc.)
- Ph.D. in a Quantitative discipline
- 3+ years of hands on professional programming experience in C++ and/or Python
- Strong knowledge across stochastic calculus, PDE's, and Monte Carlo Simulation
- Strong written and verbal communication skills
- Strong desire to work in a growing, fast paced, collaborative team