Lead Quantitative Analyst

Location

New York, NY | United States

Job description

Compensation : $144,000 - $200,000 Per Year

We are seeking a Lead Quantitative Analyst to join the team at a Global Financial Institution. This position will be part of a Model Development Center that will focus on mathematical concepts and programming. The Development Center manages all quantitative modeling related to market and interest rate risk on the bank’s mortgage products including consumer banking mortgage activities, trading activities and investment portfolio positions in mortgage products.

• Implement interest rate models, loan prepayment models, loan default models, derivative valuation models, hedging strategies, and horizon forecast models to support various mortgage business in the institution
• Implement and enhance the firm’s proprietary quantitative library in C++
• Generate, test, implement, and deploy ideas to improve system performance or team productivity
• Improve the safety and reliability of the library
• Partner constructively in collaboration with business, model development, model validation, and IT
  Required Qualifications:

• 5+ years of Quantitative Analytics experience, or equivalent demonstrated through one or a combination of the following: work experience, training, military experience, education

• Master's degree or higher in a quantitative discipline such as mathematics, statistics, engineering, physics, economics, or computer science
  Desired Qualifications:

• 2+ years of C++ experience
• Strong design, coding, testing, and debugging skills.
• 2+ yrs experience applying advanced mathematics in problem solving
• Experience with large scale library development
• Versed in software engineering principles
• Experience with multi-threading and asynchronous event-driven programming
• Experience in software development cycle and agile technologies
• Experience with computer programs including, SQL and VBA
• Knowledge and understanding of interest rate derivatives models and mortgage analytics
• Experience in vendor model, solution, or platform - Polypaths, ADCo, Intex, QRM, Bloomberg, Yieldbook
• Knowledge of Derivatives valuation
• Excellent verbal, written, and interpersonal communication skills
  Additional Information

• Candidate must have the ability to travel up to 10% of the time

Job tags

Salary

$144k - $200k