Job Title: RMBS Quantitative Modeler/Trader
Location: New York
Firm: Mortgage Hedge Fund
Location: New York
Firm: Mortgage Hedge Fund
Overview:
A leading mortgage-focused hedge fund is seeking an RMBS Prepayment Modeler or Trader to join its team. We are looking for candidates with a strong background in RMBS prepayment modeling or quantitative trading strategies focused on RMBS prepayment Strategy or Agency Derivatives. The team will consider candidates with direct trading experience and an understanding of RMBS prepayment strategies, or candidates from a Mortgage Modeling desk who have directly built an RMBS prepayment model.
A leading mortgage-focused hedge fund is seeking an RMBS Prepayment Modeler or Trader to join its team. We are looking for candidates with a strong background in RMBS prepayment modeling or quantitative trading strategies focused on RMBS prepayment Strategy or Agency Derivatives. The team will consider candidates with direct trading experience and an understanding of RMBS prepayment strategies, or candidates from a Mortgage Modeling desk who have directly built an RMBS prepayment model.
Responsibilities:
- Ability to develop and maintain RMBS prepayment models, leveraging statistical and machine learning techniques.
- Analyze historical prepayment performance to identify patterns and generate actionable insights.
- Collaborate with portfolio managers to integrate prepayment models into investment decision-making.
- Monitor and improve model performance by incorporating market and borrower-level data.
- Appetite to or applied experience developing and execute quantitative trading strategies focused on RMBS prepayments.
- Analyze market trends and prepayment behaviors to identify trading opportunities.
Qualifications:
- 3-10 years of experience in RMBS prepayment modeling or trading RMBS prepayment strategies/Agency Derivatives.
- Advanced degree in a quantitative discipline such as Finance, Economics, Mathematics, Statistics, or a related field.
- Familiarity with mortgage datasets such as Loan Performance, eMBS, or Intex.
- Strong programming skills in Python, R, C++ or a similar language.
- Deep understanding of RMBS prepayment dynamics, including borrower behavior and market influences.
- Proven ability to work in a fast-paced, collaborative environment.
- Excellent analytical, problem-solving, and communication skills.
