MBS Quantitative Analyst

This person will be part of a strong group that is responsible for designing, developing and testing new models and enhancing the firm's existing models. Additional responsibilities for the role include identifying risk issues related to mortgage backed securities; building, enhancing and validating prepayment models, MBS pricing models and risk models to support the business.  This person will participate in the development of risk management tools (Greeks, stress test, back test).  Additionally this person will design and develop risk and pricing models across various fixed income class including interest rate models an volatility models. 

Requirements for the role include a PhD in a quantitative field along 3-7 years of financial experience with direct experience in prepayment modeling.  Candidates must have a strong knowledge in quantitative finance such as term structure models, volatility models, options pricing, Monte Carlo simulation, binomial and trinomial tree and finite difference methods.  Strong knowledge of risk models such as VaR, expected shortfall and Greeks. Must have a strong understanding of various financial products, market conventions and risk management.  Candidates must have an exceptionally strong math background with experience in probability theory, stochastic processes, time series, etc. Experience with C++ and/or SQL preferred.

April 4, 2013 • Tags: , • Posted in: Financial

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