Interest Rate Quant Analyst-MBS/Structured Products Team
New York, NY
Posted Nov 20, 2019 - Requisition No. 79816
The MBS/Structured Products market accounts for nearly $10 trillion of US public and private securitized debt. Banks use financial engineering to transform various assets, such as residential and commercial mortgages, auto and student loans, and credit card debt, into bonds that are structured to meet nearly any investor's appetite.
Our team develops predictive models and risk analytical calculations that allow our clients to value the embedded prepayment and default optionality and manage the risks/uncertainties inherent with these bonds. We apply mathematical and statistical methods, using our software engineering tools, to build various models in this domain. We maintain prepayment models for loans with payments guaranteed by the US government agencies, loan transition models for non-agency-guaranteed US residential mortgage loans, credit models for a variety of sectors/geographic regions, as well as housing prices and unemployment models.
Interest rates are the most important market data inputs for our predictive models and risk analytics. Modeling the term-structure movements of interest rates is challenging due to a large number of factors and parameter dimensions. Developing a practical and high-performance interest rate market model that meets the high computational demands of our products is even more challenging. We are seeking a highly motivated interest rate quantitative analyst to join us as we take our models to the next level.
We'll Trust you to
- Take responsibility for our interest rate model, yield curve construction, rate projection, and other predictive models to meet market conditions and client expectations.
- Gain a comprehensive understanding of our systems and models.
- Collaborate across engineering and product teams, as well as with clients, to solve challenging problems and propose solutions regarding models and analytics.
- Research and perform root cause analysis when risk analytics are questioned.
- Recognize and develop new risk analytic requirements to meet shifting market demands and regulatory environment.
- Ability to design, develop and release high-quality, maintainable and performant code.
You'll Need to have
- MS or Ph.D. in Applied Mathematics or a Quantitative Field of Science or Engineering
- 3+ years of experience developing in C++/Python in a large scale software environment
- Ability to learn and use new tools and methodologies.
- Strong communication skills with an ability to convey abstract mathematical and modeling concepts and their relationship to risk analytics to non-technical stakeholders.
- Aptitude to understand and troubleshoot MBS/Structured products risk analytics.
We are an equal opportunity employer and value diversity at our company. We do not discriminate on the basis of race, religion, color, national origin, gender, sexual orientation, age, marital status, veteran status, or disability status.