MBS quantitative Aanlyst

  • Location

    USA-NY-New York City

  • Compensation

    Base plus bonus

  • Position Type

    Employee

  • Employment type

    Full time

  • Updated

    06 Jan 2009

  • eFC Ref no

    482607
Quant Analyst of the MBS securities trading desk will be fully involved in all strategic discussions within the team and will be responsible for building, implementing, and maintaining loan-level credit and prepayment models for all MBSproducts.

MBS Trading group prepayment models for MBSproducts. Ideally, this person will also
 have experience being fully integrated into a trading team (i.e. able
 to generate creative ideas and help develop strategies for the entire
 group). Although the person will also eventually manage one or two
 more junior quants, we're still looking for someone who is comfortable
 being hands-on. MBS  Group will invest in both credit and prepayment sensitive
assets within the asset class. This will primarily include investments
in residential mortgage products as well as other consumer based asset
classes. The form of investment will encompass both the securities
markets and the loan markets. Investments will be considered within a
relative value framework. The backbone of this analysis will be created
via the output of internal credit and prepayment models. Proprietary
models will cover the variety of residential credit assets within the
rmbs/ abs universe. 

   They should have significant experience building loan-level credit andprepayment models for MBS products. Ideally, this person will also have experience being fully integrated into a trading team (i.e. able to generate creative ideas and help develop strategies for the entire
group). we'relooking for someone who is comfortable being hands-on

 They will have 3 + years of hands-on experience developing successful
quantitative models. An exceptional academic background and strong
programming skills are essential; a Ph.D. in a technical discipline is
preferred. This position offers an exceptional opportunity to play a
significant role in the development of a new strategy within a top tier
firm.

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