Senior Quantitative Analyst

As a part of the Fixed Income Products Technology team, build and integrate custom prepay, default and other models for Risk Management and Risk Reporting supporting the Credit Risk and Front Office teams. The group focusses on building and integrating models with their valuation systems to evaluate how Agency MBS portfolio and other fixed income security portfolios will perform under changes in interest rates etc. As a Senior Quantitative Analyst your main responsibilities will involve:

• Researching and modeling fixed income securities.
• Model validation and testing.
• Responsible for financial modeling, analysis and data collection, as well as the interpretation of market information, statistics, and pricing.
• At least 5 years of experience working on interest rate, market risk and other models
• Very strong econometrics knowledge (time-series, multi-variate statistics)
• Phd. In Maths, Economics, Physics or similar
• Experience with MBS data and prepayment modeling would be a definite plus