Quantitative Research Analyst, Mortgages
Core
Quantitative analyst supporting London front office trading mortgages analytics team, assisting Portfolio Managers in investment and asset management decisions for RMBS and ABS markets.
Role type
Front office quantitative analyst (mortgages/ABS)
Builds
Pricing models and surveillance frameworks for mortgage and asset-backed securities
Domain
Fixed income, mortgage-backed securities, asset-backed securities
Deliverable
production ML models
Required skills
Advanced pricing techniques (Monte Carlo, prepayment modelling, scenario engines), asset pricing theory, probability theory, cash flow/bond maths, loan-level and cashflow modelling, collateral analysis, recovery assumptions, structural waterfalls, Python coding, statistical coding packages (SAS, R, Python)
Preferred skills
Mortgage products familiarity, Intex familiarity, data analysis, empirical modelling, asset-backed structured products, Linux/Unix/Bash, SQL
Technologies
Python, SAS, R, Linux/Unix/Bash, SQL
Responsibilities
Develop new pricing models for bespoke transaction features, implement pricing models into Python code, contribute to large coding infrastructures, perform loan-level and cashflow modelling across illiquid mortgage credit, conduct collateral analysis and recovery assumptions analysis
Seniority
Mid-level, hands-on IC