Financial Modelers (MBS/ABS)

One of the premiere global investment banks is seeking several high calibre Quantitative Developers within their Fixed Income Analytics team. The new hires will assume responsibility for implementing model formulations for the Fixed Income businesses.  These formulations will be incorporated into the firm's in-house suite of analytics functions. A significant effort will also be devoted to aiding Trading, Sales and Risk users with effective usage of the analytics suite.  In particular, the successful candidates will be responsible for prepayment/default modeling, pricing and model implementation of ABS and MBS.

 

 

REQUIREMENTS

· Some knowledge of fixed income products and concepts required (yield curves, convexity, etc.)

· Previous experience in a fixed income quant role helpful.

· Overall fluency in the fixed income markets.  Knowledge of MBS/ABS would be of particular interest.

· Strong knowledge of mathematics (Stochastic calculus, Numerical Analysis, Probability theory, Statistics, etc.)

· PhD in a quantitative subject such as physics or mathematics would be preferred. Candidates with a Master's degree and relevant domain knowledge are also encouraged to apply.

· Strong computational experience.

· Experience with real data analysis and processing.

· Ability to develop robust and accurate numerical code, utilizing some combination of C#, C++, SQL and/or SAS.

· Highly developed reasoning and analytical skills.

· Orientation towards pragmatic solutions.

· Ability to work well with others. The compensation for this opportunity will be commensurate with the experience level of the successful candidates. For a senior candidate the base could approach the $150K range to attract stars, with an additional bonus potentially taking the overall comp package over the $200K range.  These numbers could flex higher for an exceptional candidate.  Perhaps equally important will be the opportunity to work in a dynamic environment with talented colleagues, a great team atmosphere and significant growth potential.