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.
- 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
- 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