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Head of North American Mortgage Quants

  • Job type: Permanent
  • Location: New York
  • Salary: Negotiable
  • Job reference: 194561/002_1536957783
  • Sector: Selby Jennings, Quantitative Finance
  • Date posted: 14/09/2018

I'm working with a top-tier investment bank in NYC that is looking for an experienced quant who can head the front office modeling efforts to support their US Agency MBS trading team. From a day to day perspective, they'll be working on model development and implementation covering US Agency MBS and CMO products. However, there will also be an overlap with quant efforts for the IRs and Credit desk.

Job Responsibilities:

  • Developing and implementing a commercial real-estate loan default and severity models for CMBS.

  • Building mortgage-backed securities (MBS) valuation and risk platforms, including valuation and modeling, portfolio cash flow analytics with term structure modeling and dynamic credit models

  • Developing CMBS data warehouse housing all CMBS deals, bonds, loans and properties

  • Developing new mathematical and computational methods for pricing deals and managing risk, including prepayment models.

  • Engaging in discussions with traders, senior management, and risk managers regarding deal modeling and pricing, hedging, risk measurement and risk management.

Job Qualifications:

  • Advanced degree in a technical field (mathematics, physics, statistics, engineering, computer science, etc.)
  • Experience with model development and implementation within the front office
  • 8-10 years of industry experience (preferably in MBS)
  • Broad knowledge of quantitative finance at an advanced level, experience with prepayment modeling.
  • Programming in C#
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