| Job Information |
Our elite global Alternative Investment Management client is seeking to recruit a Senior Investment Quant with advanced technical and quantitative modeling skills to collaborate with key investment and technology stakeholders to develop and implement investment strategies, financial data analytics and proprietary financial models to forecast ABS and RMBS loan performance.
Responsibilities:
- Collaborate with key investment and technology stakeholders to develop and implement investment strategies, financial data analytics and proprietary financial models to forecast ABS and RMBS loan performance
- Work closely with traders and investment professionals to maximize absolute return across a variety of consumer ABS, mortgage and real asset investments
- Perform quantitative analysis and develop financial models across residential mortgage (RMBS), real asset and consumer ABS asset classes (auto loans, personal loans, student loans, etc.)
- Analyze prepayment and default behavior for residential mortgage and consumer ABS assets
- Develop statistical models for various structured product asset classes
- Work closely with traders, product controllers, risk management and IT/programmers
- Oversee and manage mortgage model performance and related research
- Manage the testing and implementation of internal and vendor pricing models
- Assist with risk model and new product development
Requirements:
- Bachelor’s Degree
- Master’s or PhD in Statistics, Physics, Quantitative Finance, Mathematics, Financial Engineering or related field of study preferred
- 5+ years of residential mortgage/consumer ABS deal structuring, default modeling and prepayment modeling experience
- Demonstrated experience in the alternative investment management or investment banking industry directly supporting portfolio management, deal structuring and capital markets businesses
- Advanced knowledge of structured/securitized product asset classes, particularly ABS and RMBS securities and collateral
- Advanced experience analyzing, synthesizing, manipulating and managing large complex datasets and data pools
- Advanced experience validating models and deploying models in a production environment
- Technical programming proficiency with VBA/Excel, SQL and/or Python
- Advanced business acumen and deep knowledge of the financial markets
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