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Fixed Income Desk Quant – Mortgage Backed Securities (MBS)

Employer
T. Rowe Price
Location
Baltimore, Maryland (US)
Salary
Commensurate with experience
Closing date
Sep 27, 2019

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Job Function
Fixed Income Research: Buy Side, Other
Industry Sector
Asset Management
Employment Type
Full Time
Education
Bachelors
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Job Details

POSITION PURPOSE:

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.

 

PRIMARY ACCOUNTABILITIES:

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  

Other Responsibilities:

  • 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

Required Qualifications:

  • 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

Preferred Requirements

  • PhD and/or CFA
  • Direct portfolio management experience
  • Experience with performance attribution and risk models

Company

T. Rowe Price, headquartered in Baltimore, Maryland, is an investment management firm offering individuals and institutions around the world investment management guidance and expertise. The T. Rowe Price investment approach strives to achieve superior performance but is always mindful of the risks incurred relative to the potential rewards. Our consistent investment philosophy helps mitigate unfavorable changes and takes advantage of favorable ones. We provide our clients with world-class investment guidance as well as attentive service. Founded in 1937 by Thomas Rowe Price, Jr., the company offers separately managed investment portfolios for institutions and a broad range of mutual funds for individual investors and corporate retirement programs. In founding his firm, Mr. Price followed a very simple business principle: What is good for the client is also good for the firm. Rather than charge a commission, as was then the practice in the securities business, Mr. Price charged a fee based on the assets under management. If the client prospered, so did T. Rowe Price. Mr. Price is best known for developing the growth stock style of investing. Although he was trained as a chemist, he had a passion for investing. Mr. Price believed that investors could earn superior returns by investing in well-managed companies in fertile fields whose earnings and dividends could be expected to grow faster than inflation and the overall economy. The core of Mr. Price’s approach, proprietary research to guide investment selection and diversification to reduce risk, has remained part of the firm’s bedrock principles. Today, growth stock investing is one of the many investment styles the firm currently follows. T. Rowe Price also employs value-oriented, sector-focused, tax-efficient, and quantitative index-oriented approaches in managing mutual funds and institutional portfolios.

Company info
Telephone
410-345-4816
Location
100 East Pratt Street
 Baltimore
MD
21202
US
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