Quantitative Developer - Securitized Products
Core
Develop and maintain pricing libraries, analytical models, and risk analytics for securitized products (ABS, CLO, MBS, CMBS) to support investment accounting and portfolio risk management.
Role type
Quantitative Developer (Securitized Products)
Builds
Production pricing and risk analytics platform for institutional investors
Domain
Financial Services / Structured Credit
Deliverable
production ML models | product features
Required skills
Structured product mechanics, Prepayment modeling, Cash flow generation, Interest rate modeling, Python development, Risk analytics
Preferred skills
Front office experience, Market data integration, Client customization, Hull-White models
Technologies
Python, Bloomberg, Intex, Trepp, MSCI
Responsibilities
Develop pricing libraries for ABS, CLO, MBS, and CMBS; Build frameworks for cash flow generation and tranche-level analytics; Implement risk analytics including DV01, duration, and stress testing; Design models for prepayment, default, and loss severity; Advocate for new design patterns to improve infrastructure; Produce technical documentation.
Seniority
Mid-level, hands-on IC