Director - Asset Backed Finance
Core
Lead the Mumbai Asset Backed Finance (ABF) team to design, build, and risk manage a portfolio of asset-backed products including RMBS, NPLs, and consumer ABS.
Role type
Director/Principal Quantitative Strategist (Asset Backed Finance)
Builds
Pricing and risk management libraries for securitized products (Mortgages, NPLs, Music Receivables) supporting 500+ funds.
Domain
Alternative Asset Management / Asset Backed Securities
Deliverable
production ML models | infrastructure
Required skills
Asset Backed Finance market dynamics, RMBS structures, numerical analysis, optimization, C++ programming, Python programming, high-performance computing, financial modeling
Preferred skills
Derivatives pricing theory, trading algorithms, financial regulations, cross-asset pricing engines
Technologies
C++, Python, High-Performance Computing (HPC)
Responsibilities
Structure transactions for live ABF deals, price and execute deals with banks/originators, develop software libraries for pricing and risk calculation, maintain core library frameworks, optimize code for specific hardware, support end users and communicate with desk-aligned quant teams
Seniority
Director/Principal, hands-on IC with team leadership