Quant recruitment

My client is looking recruit a Quantitative Analyst / Modeller to augment the existing portfolio management effort. This individual will work in the ABS Portfolio Management team, developing and executing relative value and derivatives strategies across my clients portfolios and in managing their structured credit and/or ABS strategies with a focus on RMBS.

This position involves supporting the trading desk, developing proprietary trading tools and strategies. Your work will involve the latest developments in empirical modeling including loan level prepayment, default, and loss severity analysis. Your remit will include assisting in the development of various back-testing and stress testing frameworks for a range of proprietary tools. You will be expected to communicate market information and trends to other investment professionals within the firm both verbally and in writing.

Because of the importance of these portfolios and strategies, this will be a particularly important and visible position within the company and one that could lead to significant opportunities for the right individual.
    Position Requirements  

• PhD in a numerate subject (maths, engineering, physics, statistics, economics) is essential
• Excellent programming skills are essential. In particular, we are looking for an individual with substantial proven practical experience with Python (preferred), Java, C++, or similar, and familiarity with statistical packages and database technologies.
• Experience in the area of European RMBS securities is preferred but not essential. The client will consider all other fixed income asset classes
• Demonstrated ability to generate ideas and strategies that enhance portfolio returns and mitigate risk
• Keen intellect and strong quantitative skills, demonstrated through an ability to recognize opportunities in the market and develop strategies for capturing those opportunities
• Understanding of macro-economics and the drivers of economic trends
• Ability to work across the organization with portfolio managers, account managers, product managers and others in a collaborative manner
• Strong communications skills, internally and externally
• Strong work ethic
• Able to remain calm and objective in the face of periods of excessive optimism or extreme pessimism in the capital markets
• Unassailable ethics and integrity