Quantitative Strategist, Mortgage-Backed Securities (MBS)
Core
Develop quantitative models for fixed income, agency MBS, and structured products; conduct empirical research on security valuation and risk premia; embed analytics into investment decision workflows.
Role type
Quantitative Strategist (Fixed Income/MBS/Structured Products)
Builds
Production-grade security analytics models and scalable infrastructure for investment teams
Domain
Fixed Income, Mortgage-Backed Securities (MBS), Structured Products, Asset Pricing
Deliverable
production ML models | product features
Required skills
Risk-neutral valuation, mortgage modeling, derivatives valuation, asset pricing theory, statistical analysis, model development, Python, Java, SQL, C++, Yield Book, Bloomberg OAS models, eMBS dataset
Preferred skills
Structured products modeling, TBAs, pools, agency CMOs
Responsibilities
Develop models for fixed income, agency MBS, and structured product instruments; conduct empirical research on security valuation and risk premia; partner with technology teams to build scalable production infrastructure; facilitate use of quantitative models in investment decisions and portfolio construction
Seniority
Senior, hands-on IC
