We are currently partnered with a leading Global Investment Bank that is looking to expand their Structured Products Group in New York. They have a large existing team and after a successful year they just received approvals for additional hires.
Specifically they are looking to hire a Quantitative Modeler with experience and expertise with CLO's in particular. Beyond front office experience on a Mortgage and/or Credit Quant team, this person need to have an education in a Quantitative Discipline and applied programming experience in both C++ and Python.
This person should also have prior experience or knowledge of statistical modeling and machine learning. Overall, they are looking for someone who wants to join this reputable desk that can collaborate with the trading desk and other stakeholders to drive innovation for the organization.
Responsibilities
- Develop and maintain prepayment and default models
- Implement prepayment, default, and severity models into the businesses in house library in C++
- Conduct CLO prepayment analysis for trading desks
- Implement machine learning techniques into their models
- Communicate and work alongside of the trading desk
Requirements:
- 3+ years of experience working on a Front Office Mortgage and/or Credit Quant team (RMBS, CDS, CLO, etc.)
- 3+ years of hands on programming experience in both C++ and Python
- Masters or PhD in a Quantitative Discipline (Math, Physics, Engineering, etc.)
- Strong written and verbal communication skills
