Quantitative Investment Analyst – Mortgage Backed Securities
The Quantitative Investment Analyst is a member of the quantitative research team within the Fixed Income division. The primary role of the analyst is to collaborate with the investment team to develop a research agenda, execute on the research, and communicate the findings to enhance the investment process. The analyst will develop and enhance the investment models and analytic infrastructure in support of their assigned sector. Using a combination of vendor analytics and proprietary developments, the analyst will coordinate between the investment staff and the front office development team to build and enhance the analytic infrastructure. The analyst will engage the sell-side and academic research to keep current on new modeling developments and apply these methods to enhance the proprietary solutions. More generally, the analyst will work with members of the investment staff to assist in ad-hoc quantitative analysis.
- Conduct quantitative research on all aspects of MBS research and portfolio management. Work with investment teams to develop research agenda, execute on the research, and communicate the results.
- Analyze mortgage pre-payment speeds and market factors to identify investment opportunities in the MBS market. Develop and test trade ideas and strategies in close collaboration with portfolio managers and traders.
- Assist in the implementation and enhancement of portfolio management tools and systems to increase efficiency and effectiveness of managing Securitized Products, ABS, and MBS portfolios
- Build, maintain, and enhance firm’s proprietary valuation and prepayment models. Create tools for portfolio analysis and construction for use in the investment process.
- Collaborate with PMs, analysts, traders and other investment team members to conceptualize and prototype proprietary investment tools. Work with Investment front office and technology team to productionize and implement these tools.
- Collaborate with other members of the fixed income quantitative research team and provide support to broader team efforts.
PERSONAL ATTRIBUTES / SKILLS / QUALIFICATIONS
- A minimum requirement of a master’s degree in physical sciences, engineering, mathematics or financial engineering. PhD and/or CFA strongly preferred.
- Expert knowledge of agency and non-agency mortgage backed securities. Extensive experience in quantitative analysis and/or management of MBS portfolios.
- Comprehensive understanding of financial mathematics and complex derivatives instruments.
- Ability to work with numbers and datasets with full understanding of statistics and numerical analysis.
- Detailed knowledge of securitized markets and instruments including RMBS, CMBS, CMO, and ABS.
- Ability to program in analytic languages (R, Python etc.) and work with databases.
- Ability to learn new systems, tools, and processes quickly.
- Highly self-motivated and detail-oriented.
- Demonstrated ability to influence stakeholders and lead teams
- Ability to master complex tasks with minimal supervision.
- Ability to communicate ideas effectively and solve problems creatively.
- Ph.D. in physical sciences, engineering, mathematics, or financial engineering.
- Experience with presentation of complex topics to PMs and clients.
- Ability to program and prototype proprietary investment tools.