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Front Office Mortgage Quant

  • Job type: Permanent
  • Location: New York
  • Salary: US$100000 - US$200000 per annum + + Bonus
  • Job reference: 254703/001_1528756192
  • Sector: Selby Jennings, Quantitative Finance
  • Date posted: 11/06/2018

The Head of Mortgage at an emerging investment bank is looking to bring on board a front office quantitative analyst to support the desk focusing on Non-Agency RMBS. The team has seen a tremendous amount of success in the last fiscal year and the Global Head of Quants as given the team additional funding to add coverage due to growth within the business line.


As you will have direct impact on the PnL through interaction and collaboration with senior stakeholders (e. Mortgage Traders, Mortgage Structurers, Global Head of Mortgage Quants and Global Head of Quants), it is crucial that you not only have perfect written and verbal communication but also have extensive knowledge of mathematical theory and hands on Object Oriented Programming experience.

Responsibilities for Front Office Mortgage Quantitative Analyst

  • Design new models to evaluate fair pool prepayment speed to better improve trading strategies

  • Develop Agency and Non-Agency RMBS pricing models in C++

  • Contribute to the PnL attribution analysis against mortgage products

  • Use statistical methods to data mine and aggregate loan level information for CMO bonds

Qualification for Front Office Mortgage Quantitative Analyst

  • 2-5 years of front office fixed income derivative pricing experience

  • Ph.D in a Quantitative discipline (Physics, Mathematics, Statistics, Computer Science, etc.

  • Superb C++ skills

  • Expertise in Monte Carlo Simulation, Stochastic Calculus & Partial Differential Equations.

  • Perfect written and verbal communication

  • Research skills preferred

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Front Office Mortgage Quant
  • Job type: Permanent
  • Location: New York
  • Salary: US$100000 - US$200000 per year + + Bonus
  • Description The Head of Mortgage at an emerging investment bank is looking to bring on board a front office quantitative analyst to support the desk focusing on Non-Agency RMBS