Quantitative Analyst - New York, United States - Jonathan Edward Staffing

    Jonathan Edward Staffing
    Jonathan Edward Staffing New York, United States

    2 weeks ago

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    Description
    Quantitative Analyst Lead

    180-375k
    Hybrid in NYC

    This 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 bank's 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 firm's proprietary quantitative library in C++
    Generate, test, implement, and deploy ideas to improve system performance or team productivity
    Improve the safety and reliability of the library
    Partner constructively in collaboration with business, model development, model validation, and IT

    Required
    5+ 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 science

    Desired

    2 At least 2 years of C++ experience
    At least 2 yrs experience applying advanced mathematics in problem solving
    Experience in vendor model, solution, or platform - Polypaths, ADCo, Intex, QRM, Bloomberg, Yieldbook Experience with large scale library development
    Experience with multi-threading and asynchronous event-driven programming
    Experience with computer programs including, SQL and VBA
    Knowledge and understanding of interest rate derivatives models and mortgage analytics
    Knowledge of Derivatives valuation


    Requirements

    5+ 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 science


    Benefits

    180-375k

    Medical, Dental, Vision

    6% 401k match, 144 hours of up-front PTO

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