Fixed Income Desk Quant – Mortgage Backed Securities (MBS)
The Fixed Income Desk Quant resides within the Fixed Income Quantitative Investments and Group. The Desk Quant works closely with Fixed Income (FI) Portfolio Managers in quantitative model development, design of optimal trading strategies, risk analysis, and portfolio construction. The Desk Quant will be the point person to provide day-to-day analytical support to the investment process. They will also perform ad-hoc investment analysis related to the strategies.
Investment Analysis and Research: Analyze portfolio exposures, communicate with portfolio management, research investment ideas and recommend actions that align portfolio positioning to strategy objectives.
- Serve as primary quantitative resource for MBS portfolios
- Responsible for the production and implementation of FI quantitative models
- Assist in the development of optimal trading strategies to implement portfolio managers’ views
- Support portfolio construction and implementation by devising and running optimizations
- Create security screening tools and data visualizations to assist in the portfolio management process.
- Analyse and interpret portfolio risk and attribution reports. Perform scenario analyses and other portfolio level testing
- Partner with research quants in creating trading models and perform rich/cheap analyses
- Assist portfolio managers by performing ad-hoc quantitative analysis
- Work with internal systems designed for portfolio construction and trade modelling
- Partner with the Technology organization to develop and enhance quantitative models from research stage through production
- Collaborate with the research and investment teams to conceptualize new investment tools and to conduct relevant research
- Provide portfolio construction and analytical support to product development efforts as needed
- Master’s degree in physical sciences, engineering, mathematics or financial engineering
- Expert knowledge of agency and non-agency mortgage backed securities. Extensive experience in quantitative analysis and/or management of MBS portfolios.
- Proficiency in statistics and numerical analysis; comprehensive understanding of financial mathematics and portfolio concepts
- Prior experience in fixed-income asset management, specifically in quantitative research
- Experience working directly with Portfolio Managers and Traders on quantitative investment strategies
- Ability to program in analytic languages (R. Python, etc.) and work with databases
- History of establishing rapport and working collaboratively with investors. Demonstrated ability to influence stakeholders and lead teams
- Highly self-motivated and detail-oriented, able to work independently on projects
- Ability to communicate ideas effectively and solve problems creatively
- PhD and/or CFA
- Direct portfolio management experience
- Experience with performance attribution and risk models