As a part of the Fixed Income Products Technology team , build and integrate custom prepay , default and other models for Risk Management and Risk Reporting supporting the Credit Risk and Front Office teams. The group focuses on building and integrating models with their valuation systems to evaluate how Agency MBS portfolio and other fixed income security portfolios will perform under changes in interest rates etc. As a Senior Quantitative Analyst your main responsibilities will involve:
Researching and modelling fixed income securities.
Model validation and testing.
Responsible for financial modelling , analysis and data collection , as well as the interpretation of market information , statistics , and pricing.
Qualification:
At least 5 years of experience working on interest rate , market risk and other models
Very robust econometrics knowledge (time - series , multi - variate statistics)
Phd. In Maths , Economics , Physics or similar
Experience with MBS data and prepayment modelling would be a definite plus
Disclaimer: This job posting has been aggregated from external source. Role details, content, and availability are subject to change. Applicants are advised to confirm the latest information directly on the company website before applying.