Job Description:
Job ID(18580) |
Major International Investment Bank in NYC is looking for a PhD Quant with experience in MBS/ABS Derivatives for a position within the Derivative Model Review Group.
The successful candidate will review and validate existing risk and trading models for theoretical soundness as well as provide analytic risk support and analysis of the firm'::s MBS trading business. Candidates must have 0-2 years of model validation experience and expertise in prepayment models for fixed rate and adjustable-rate mortgages, prepayment models for asset-backed securities, option-adjusted valuation and risk management tools for MBS, ABS, and CMOs. Candidates must have advanced degree (PhD preferred) in Statistics, or math with solid C/C++, VBA or Java programming skills. Compensation is very competitive. The firm will also look at fresh PhD'::s who have strong statistical programming skills, the desire to learn about pre-payment models, and the potential to develop into a world class quantitative modeler.
Recruiter: Jim Geiger
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