Description
Job Description Job Description Quantitative Analyst Lead237-315kHybrid in Charlotte, NCThis position will be part of the Mortgage Model Development Group that will focus on mathematical concepts and programming.
The group manages all quantitative modeling related to market and interest rate risk on the banks mortgage products including consumer banking mortgage activities, trading activities and investment portfolio positions in mortgage products.
In this role you will:
Implement interest rate models, mortgage prepayment models, mortgage default models, derivative valuation models, hedging strategies, and horizon forecast models to support various mortgage business.
Implement and enhance the firms proprietary quantitative library in C++Generate, test, implement, and deploy ideas to improve system performance or team productivityImprove the safety and reliability of the libraryPartner constructively in collaboration with business, model development, model validation, and ITRequired5+ years of Quantitative Analytics experience (Mortgage-related)Master's degree or higher in a quantitative discipline such as mathematics, statistics, engineering, physics, economics, or computer scienceDesired 2 At least 2 years of C++ experienceAt least 2 yrs experience applying advanced mathematics in problem solvingExperience in vendor model, solution, or platform - Polypaths, ADCo, Intex, QRM, Bloomberg, Yieldbook Experience with large scale library developmentExperience with multi-threading and asynchronous event-driven programmingExperience with computer programs including, SQL and VBAKnowledge and understanding of interest rate derivatives models and mortgage analyticsKnowledge of Derivatives valuationRequirements5+ years of Quantitative Analytics experience (Mortgage-related)Master's degree or higher in a quantitative discipline such as mathematics, statistics, engineering, physics, economics, or computer scienceBenefits237-315kMedical, Dental, Vision6% 401k match, 144 hours of up-front PTOMore#J-18808-Ljbffr
