Senior Quantitative Analyst - Structured Products Quantitative Agency MBS Research | New York, NY | Bloomberg Careers

Senior Quantitative Analyst - Structured Products Quantitative Agency MBS Research

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New York, NY

Posted May 25, 2022 - Requisition No. 103944

The Bloomberg Structured Products team is responsible for all data, cash flows and analytics for the two million plus bonds that comprise the structured products universe. We own some of Bloomberg’s largest databases, highest hit services, most comprehensive cash flow model libraries, and most complex analytic tools and valuation screens. Our products support Bloomberg’s industry leading fixed income indices, security valuation services, portfolio management and trading platforms, as well as the daily workflow of countless traders, portfolio managers and research analysts.

Who we are:

The Bloomberg Structured Products Quantitative Agency MBS Research Team
We strive to create best-in-class predictive and economic models for the US Agency MBS markets in conjunction with a comprehensive suite of daily analytics reports, model surveillance reports, whitepapers, specified pool cohorts, and valuation tools. We aim to provide timely model updates that incorporate the latest prepayment trends and market developments, while allowing clients the ability to fully customize their user experience with a comprehensive and intuitive set of model overrides. We strive to continually improve our agency MBS product by maintaining an ongoing, open dialogue with the entire community of traders, portfolio managers, regulators, and mortgage agencies that incorporate our models into their daily workflow as well as internal partners such as Index/PORT, BVAL, MARS, NEWS and BI.

We are an enthusiastic, talented team of 7 quants who work side by side with product managers, developers, and many other engineering groups. Our teams develop models that forecast cash flows for Agency mortgage backed securities, produce valuation metrics used to determine relative value, and develop risk analytics used to quantify market risk for hedging and return attribution.

We continually enhance our models to stay in sync with evolving market dynamics and government policies, as well as expand model coverage for new product types. Our current projects include enhanced cohorts to track the performance of specified pools, automated error correction for the agency prepayment model, and a new prepayment model for the GNMA project loan sector.

Who you are:

An innovative quantitative research analyst with a strong interest in financial markets. Someone who cares about the impact of their work and enjoys working with large datasets, conducting regression analysis, building analytic valuation tools, and supporting our clients. You enjoy collaborating and working closely with other people. You’re a problem solver, eager to learn, and have a strong interest in the structured products domain.

As part of this team we'll trust you to:

  • Work collaboratively with product owners to build new predictive models 
  • Enhance existing models to reflect evolving market dynamics, changes in mortgage underwriting, and to expand model coverage
  • Create analytical tools and reports that help clients track collateral performance, quantify market risk, and assess relative value
  • Help the team evolve and operate on a day to day basis

You’ll need to have:

  • 3+ years of professional experience building and maintaining predictive models
  • Strong quantitative, analytical and problem solving skills 
  • Experience working with large data sets and conducting regression analysis
  • Proficiency in SAS or equivalent, Excel, Linux/windows environments
  • Excellent verbal and written communication and interpersonal skills
  • BA/BS in Mathematics, Statistics, Economics, or other quantitative field
  •  
    We'd love to see:

  • MS or PhD in Mathematics, Statistics, Economics, or other quantitative field
  • Strong experience within the Agency MBS sector
  • A passion for financial markets

If this sounds like you, please apply! 

Bloomberg is an equal opportunity employer, and we value diversity at our company. We do not discriminate on the basis of age, ancestry, color, gender identity or expression, genetic predisposition or carrier status, marital status, national or ethnic origin, race, religion or belief, sex, sexual orientation, sexual and other reproductive health decisions, parental or caring status, physical or mental disability, pregnancy or maternity/parental leave, protected veteran status, status as a victim of domestic violence, or any other classification protected by applicable law.

Bloomberg is a disability inclusive employer. Please let us know if you require any reasonable adjustments to be made for the recruitment process. If you would prefer to discuss this confidentially, please email amer_recruit@bloomberg.net

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