RMBS Quantitative Research / Modeler - Asset Manager

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Job Title:
RMBS QUANTITATIVE RESEARCH / MODELER - ASSET MANAGER
Job Description:
Job ID(18682)
Asset Manager in New York is looking for a Structured Products Quantitative Analyst with experience modeling RMBS and CDOs. The successful candidate will be part of the firms Structured Products Investment team and will provide senior level programming and quantitative analytic support for the firms RMBS and CDO portfolio holdings. The candidate must have 7+ years of experience performing collateral level analysis and cash flow modeling on complex RMBS (agency and non-agency) structures. Candidates must have an advanced quantitative degree [Math, CS, Fin Eng], demonstrated experience using risk and valuation models [Andrew Davidson, Loan Performance, PPR] and tools [Bloomberg, Intex, Yieldbook, Factset, Polypaths] that assist traders and PM'::s to identify relative values of RMBS and CDOs structured securities, and be comfortable performing quantitative analysis of large datasets such as Loan Performance. Requirements for this position include current prepayment, default and loss modeling experience, working with loan level mortgage data, excellent C++ programming skills, strong knowledge of non-agency RMBS, and superior communication skills to interact with Portfolio Managers and Traders.

Recruiter: Jim Geiger

Salary: Compensation Competitive Location: New York
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