NY Bank: MBS,Prepayment, CMO quantitative risk opportunity (CESR) recruitment

Responsibilities:

• This team is under the limelight of the CRO and CEO at the moment and is responsible designing, testing, and maintaining models used for trading limits management. 

• Various functions such as the model design and testing requires candidates with excellent eye for detail and intensive theoretical work and implementation of models using various software.

• The Modelling Analyst team is responsible for maintaining model review and validation and performing all benchmarking and back testing of the financial models to assess their effectiveness.

• The team work closely with traders to write up the front office reports and relay the feedback to senior management.

Qualifications Needed: 

• MSc or Ph.D. (ideally) in a quantitative field, physics, mathematics or statistics preferred.

• Ideally 3+ years preferably coming from a Model validation, EC risk or similar function, working with cross asset pricing models and VaR models.

• Previous experience working with economic capital model would be advantageous. Candidates need to have a solid understanding of risk as it applies to CMO mortgage work.

Understanding of optionality, VaR computation, and how to build/use prepayment models. Agency-backed deals are the focus for this team.

• Ideally candidates with MBS/CMO experience

• Strong communication skills are necessary as this team interact heavily with various front office functions.

• Experienced programming skills such as Matlab and C++ is required to perform well in this team. 

• Candidates need to be located in the USA, as relocation is not applicable. 

If this role may be of interest, please apply into: quantexotic@selbyjennings.com