Lead Quantitative Analyst

Lead Quantitative Analyst (Mortgage)

264-276k

NYC (hybrid)

Lead Quantitative Analyst role available! Your team's focus will be on mathematical concepts and programming and will manage all quantitative modeling related to market and interest rate risk on mortgage products (consumer banking mortgage activities, trading activities and investment portfolio positions in mortgage products).

Benefits

• Start on 1st day
• Medical, dental, vision
• 6% match on 401k, 4-16 weeks paid parental leave
• 144 hours up-front PTO, additional PTO afterward (accrued)
• Variable bonuses, backup child care, tuition reimbursement 
• Commuter benefits, paid parking, more

Responsibilities

• Implement interest rate models, mortgage prepayment models, mortgage default models, derivative valuation models, hedging strategies, and horizon forecast models to support various mortgage business.
• Implement and enhance the firm’s proprietary quantitative library in C++
• Generate, test, implement, and deploy ideas to improve system performance or team productivity
• Improve the safety and reliability of the library
• Partner constructively in collaboration with business, model development, model validation, and IT

Required

• 5+ years of Quantitative Analytics experience
• Master's degree or higher in a quantitative discipline (mathematics, statistics, engineering, physics, economics, or computer science)

Desired

• 2+ years of C++ experience
• 2+ yrs experience applying advanced mathematics in problem solving
• Strong design, coding, testing, and debugging skills.
• Experience with large scale library development
• Versed in software engineering principles
• Experience with multi-threading and asynchronous event-driven programming
• Experience in software development cycle and agile technologies
• Experience with computer programs including, SQL and VBA
• Knowledge and understanding of interest rate derivatives models and mortgage analytics
• Experience in vendor model, solution, or platform - Polypaths, ADCo, Intex, QRM, Bloomberg, Yieldbook
• Knowledge of Derivatives valuation