Position: Quant Modeler/Researcher/Analyst - Agency Prepayment Modeling
Location: New York (Hybrid)
Firm: Structured Products Hedge Fund
Overview:
A leading structured products hedge fund is seeking a talented Quant Modeler/Quantitative Researcher/Analyst with 1-4 years of experience to join our dynamic team. The ideal candidate will have a strong focus on developing agency prepayment models and a keen interest in structured products. This role offers an excellent opportunity to work with a team of experts in the field and contribute to cutting-edge research and model development.
Key Responsibilities:
- Develop, enhance, and maintain agency prepayment models.
- Conduct in-depth research on mortgage-backed securities (MBS) prepayments and performance.
- Analyze large datasets to identify trends, behavioral factors, and key drivers of prepayment.
- Collaborate with portfolio managers and senior researchers to integrate models into the investment process.
- Regularly backtest models, ensuring their accuracy and performance in various market conditions.
- Stay updated on market developments, regulatory changes, and innovations in structured products.
Qualifications:
- 1-4 years of experience in agency prepayment modeling, preferably within the MBS or structured products space.
- Advanced degree in a quantitative field (e.g., Mathematics, Statistics, Engineering, Computer Science, or related field).
- Strong programming skills in Python, R, or other relevant languages.
- Familiarity with statistical modeling, machine learning techniques, and large-scale data analysis.
- Solid understanding of mortgage-backed securities, especially agency MBS derivatives and CMOs
- Strong communication skills and the ability to work collaboratively in a team environment.
Preferred Skills:
- Experience working with prepayment data and vendor models (e.g., Intex, Bloomberg).
- Familiarity with structured products and fixed income strategies.
- Experience in quantitative research at a financial institution or hedge fund.
Benefits:
- Competitive compensation and performance-based bonuses.
- Opportunity to work in a highly collaborative and intellectually stimulating environment.
- Exposure to advanced modeling techniques and tools within the structured products space.
