MBS Prepayment Modeler- Fixed Income Analytics

  • Competitive
  • Boston, MA, États-Unis
  • CDI, Plein-temps
  • Analytic Recruiting Inc.
  • 13 nov. 17 2017-11-13

Boston based financial firm is looking for a Quantitative Fixed Income Portfolio Research Analyst with Mortgage Prepayment Modeling experience. The firm is expanding its Quantitative Risk team that builds portfolio management, risk and attribution models to identify, measure and reduce risk across asset classes, and gain a consistent view of performance and risk.

Responsibilities:

  • Design and Develop Fixed Income Factor Models and Fixed Income Portfolio Analytics
  • Research new methods for capturing prepayment risk exposure, and evaluating risk/reward, portfolio optimization and performance attribution across for a structured Fixed Income Portfolio
  • Developing and Test Risk Management methodologies
  • Implement fixed income models in Python
  • Analyzing exposures using stress testing and VAR techniques
  • Work closely with technology to implement these models

Requirements:

  • Applicants should have 5+ years of experience
  • An advanced quantitative degree (PhD preferred) (Finance, Statistics, Economics, or Econometrics)
  • Experience building Fixed Income factor models and portfolio analytical models using Python and SQL
  • Experience with large data sets
  • Strong Knowledge of  Fixed Income Structured markets, pricing and analytics is required.

Keywords: Prepayment Modeler, Factor Modeler, Fixed Income Portfolio Analytics, Python, SQL, Portfolio Optimization, Portfolio Construction

Please send resumes to Jim Geiger  jeg@analyticrecruiting.com