Assoc. Director, Credit Quant

About the role

Develop valuation models for Asset-Backed Securities (ABS), Mortgage-Backed Securities (MBS), and other credit products. Ensure theoretical soundness, numerical accuracy, and implementation correctness of these models.

Requirements

• Master’s or foreign equivalent in Mathematical Finance, Computer Science, Software Engineering, Physics, or a related field.
• Three years of experience in the job offered or a related occupation, including:
  • Programming in C++, C++11, Python, or VBA to analyze and build models within a modeling framework.
  • Working with programming languages such as Python, Java, or Scala to build large-scale quantitative models.
  • Experience with financial products including Asset-Backed Securities, Collateralized Loan Obligations, and Mortgage-Backed Securities, as well as their models.
  • Analyzing ABS cashflow models to identify irregularities in payments and unique features of different deals and asset classes.
  • Building collateral cashflow models to replicate and confirm data accuracy, accounting for hidden risks related to prepayments, defaults, severity, and other inputs.
  • Building liabilities cashflow models to replicate and confirm data accuracy, accounting for hidden risks related to prepayments, defaults, severity, and other triggers.
  • Analyzing structured finance asset classes, including various ABS products.

Pay

Offered salary is $225,000 per year.

Schedule

40 hours per week. Telecommuting and/or work from home may be permissible pursuant to company policies. When not telecommuting, must report to the work site in New York, NY.