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Mortgage Quant | Hedge Fund | New York

  • Job type: Permanent
  • Location: New York
  • Salary: Competitive
  • Job reference: 9621
  • Sector: Banking and Finance, Quantitative Finance, Selby Jennings
  • Date posted: 19/09/2017
Mortgage Quant |  Hedge Fund | New York

NY based hedge fund with 2 billion in AUM is looking for an experienced quant analyst to join their team covering MBS, RMBS, and several other structured products. This candidate will work alongside some of the industries top quants and traders to assist in the creation and development of new models. If you have applied experience working within mortgage products and want to join a dynamic and growing team please apply.

Responsibilities of the Mortgage Quant
  • Build quantitative models involving analysis of large data sets for prepayment and default models for RMBS/MBS.  as well as various fixed income instruments.
  • Research and stay informed/updated on mortgage publications and trends.
  • Assist the technology department with the creations of tools and metrics for risk management library
  • Support ad-hoc requests from fixed income PM's  and traders
  • Daily communication with senior decision maker.
 
Requirements of Senior Mortgage Quant:
  • Ph.D. in a technical discipline ie. Physics, Electrical Engineering, Financial Engineering, Computer Science etc.
  • 2+ years of experience with Mortgage products, preferably with RMBS (ABS/MBS/CMBS/RMBS)
  • Previous experience in an investment bank, hedge fund,  or asset management firm
  • Strong programming skills in C++, VBA, MATLAB, R, SQL a strong plus
  • Must have experience working with Intex Solutions or similar software
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