Quantitative Modeler ESF9960
Quantitative Modeler ESF9960
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$ $ 175000 - 300000
1 Vacancy
Job Description
Top reasons to work for our client:
- Great team environment!
- Manager is well respected by team!
- Inclusive Workplace
- Awesome career development opportunities!
- Competitive Rates
What you will be doing:
- This is a hybrid credit modeling / software development role
- Estimate / develop and enhance credit models in the securitized products (RMBS/CMBS/ABS/CLO) space via data driven credit risk analysis
- Develop production quality ETL and data integrity processes to build and maintain credit models
- Create visual tools for monitoring back testing and adjusting model performance
- Develop tools to analyze bid lists dealer offerings and new issue deals in the structured credit space with an eye towards automation
- Collaborate with data scientists analysts traders and other stakeholders to understand requirements and deliver highquality data solutions
Experience you will need:
- BS in Computer Science Statistics/Data Science Mathematics or Financial Engineering degree from a top university. MS degree preferred
- 24 years experience as a research modeler / quant developer in a hedge fund asset manager banking or fintech environment focused on structured products or consumer credit
- Proven modeling skills in R and Python. Experience building loanlevel credit / prepayment models through all stages from data preparation data analysis model estimation through deployment into production
- Experience with generalized regression models as well machine learning frameworks
- Very strong programming and software design skills (Python C) required
- Very strong SQL and DB skills for creating/maintaining necessary tables for data preparation and analysis
- Excellent communication skills and ability to work collaboratively in a team environment with a flexible organized and driven personality
- Enthusiastic about leveraging models into the firm s investment process in the structured credit space (RMBS CMBS ABS CLOs)
- Knowledge of structured products and/or risk management in a fixedincome environment is required
- Experience creating visualization tools for monitoring or model performance adjustment in a modern JS framework (React Angular Vue) is a plus
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Employment Type
Full Time
