Previous Job
Quantitative Analyst
Ref No.: 18-02368
Location: Norwalk, Connecticut
Position Type:Full Time
Pay Rate : $ 150,000.00 /Year
Quantitative Analyst
The Analytics SBU is responsible for the strategy, execution and development of products that will establish our client as the premier technology partner for the Analytics investment community. The Research group is currently looking to fill the position of Quantitative Researcher to oversee non-agency mortgage prepayment and loss research.
The research team is responsible for defining, establishing and maintaining the quality of the analytics delivered to clients via the workstation, applications and data feeds. The successful candidate will establish as a market leader in Fixed Income analytics through original research, publishing in academic journals and timely integration of this research into applications. To achieve this, effective communication between Research, Product Development, Engineering and Sales specialists is essential.
This position will report to the director of Fixed Income and Derivatives Research.
Responsibilities of Quantitative Analyst
• Set the research direction for non-agency mortgage backed securities
• Perform cutting edge research on non-agency mortgage prepayment and loss models
• Collaborate with fixed income, derivative and risk researchers, product development and engineering to implement research in the workstation
• Communicate research and model improvements to the market
• Stay informed on market developments in non-agency, fixed income markets and regulatory changes
Job Requirements of Quantitative Analyst
• master's Degree or PhD in a quantitative discipline (engineering, math, physics, statistics) with 2+ years' work experience or a bachelor's with 5+ years' work experience
  • Must have experience creating Pre-Payment models from scratch for Non-Agency MBS
• Knowledge of applied math and statistics
• Deep knowledge of fixed income mathematics, with a focus on analysis of agency or non-agency mortgages and a familiarity with other securitized products
• Knowledge of pre- and post-crisis deal structures, loan types, underwriting standards, etc.
• Knowledge of non-agency data sources and tools (CoreLogic, Intex, etc.)
• Strong knowledge of an object-oriented programming language
• Experience using python, MATLAB or similar
• Meticulous and detail-oriented
• Excellent verbal communication skills
• Good to have experience with a database querying tool, our client products and a familiarity with derivatives