Quantitative Software Developer / Credit Modeler at LibreMax Capital

Responsibilities

• Estimate / develop and enhance credit models in the securitized products (RMBS/CMBS/ABS/CLO) space via data driven credit risk analysis for a 14 Billion Hedge Fund focused in Structured Credit
• Create robust/scalable ETL pipelines that can handle very large datasets with data integrity checks to build and maintain credit models
• Create visual tools for monitoring, back testing and adjusting model performance
• Develop tools to analyze bid lists, dealer offerings, and new issue deals in the structured credit space with an eye towards automation
• Collaborate with data scientists, analysts, and other stakeholders to understand data requirements and deliver high-quality data driven solutions

Qualifications

• BS in Computer Science, Statistics/Data Science, Mathematics, or Financial Engineering degree from a top university. MS degree preferred
• 2-3 years’ experience as a research modeler / quant developer in a hedge fund, asset manager, banking, or fintech environment focused on structured products or consumer credit
• Proven modeling skills in R and Python. Experience building loan-level credit / prepayment models from data preparation, data analysis, model estimation through deployment into production
• Experience with generalized regression models as well machine learning frameworks
• Very strong programming and software design skills (Python, C++) required
• Very strong SQL and DB skills for creating/maintaining necessary tables for data preparation and analysis
• Excellent communication skills and ability to work collaboratively in a team environment with a flexible, organized, and driven personality
• Enthusiastic about leveraging models into the firm’s investment process in the structured credit space (RMBS, CMBS, ABS, CLOs)
• Knowledge of structured products and/or risk management in a fixed-income environment is required
• Experience with cloud technologies (Azure, AWS) a plus
• Experience creating visualization tools for monitoring or model performance adjustment in a modern JS framework (React, Angular) is a plus

What We Offer

• Competitive salary and benefits package
• A dynamic and inclusive work environment with opportunities for professional growth
• Access to the latest technologies and tools in the data engineering field
• Support for continuous learning and career development

How to Apply

If you are a creative problem solver and data scientist, passionate about machine learning and building models, and see yourself as a great fit for this role, we would love to hear from you. Please submit your resume and a cover letter detailing your experience and why you are a great fit for this role.

LibreMax Capital is an equal opportunity employer. We celebrate diversity and are committed to creating an inclusive environment for all employees.