Mortgage Quantitative Strategist

Summary: A leading multistrat hedge fund is looking to expand their mortgage-backed securities footprint based on a very successful past year. The Head of Structured Credit who has over 20 years of industry experience is seeking a talented and driven Mortgage Quant Strategist to join their innovative team. This is a unique opportunity to work at the intersection of quantitative analysis and commercial real estate/mortgage investment. Due to the quantitative nature of the firm, they need someone who not only has a natural intuition on mortgage & CRE investing and is aware of the investment process, but also has a quant strat type skill set as well.

As a Mortgage Strategist, you will play a pivotal role in their investment strategy, working closely with the Head of Modelling and the traders. This role will give you the opportunity to collaborate with industry leaders who bring a wealth of experience and knowledge. In addition, this is a growth hire for the business, offering the opportunity for significant career advancement.

Key Responsibilities:

• CMBS Default Modelling: Take the lead in developing and refining models to predict CMBS defaults. Your insights will be crucial in shaping their investment strategies and mitigating risks, ensuring staying ahead in the competitive market.
• Be actively involved in understanding how the model works and have a view on what improvements can be made with the model
• Cut and analyze the data to help streamline the investment process
• Data Analysis: Dive deep into a wealth of CRE data sources to elevate their surveillance and due diligence processes.
• Programming and Underwriting: While your programming skills will be a valuable asset, this role also places a strong emphasis on underwriting. You'll work closely with the tech team to streamline and automate processes, transforming raw data into actionable insights.

Job Requirements:

• 2+ years of experience in the mortgage/structured products space [MBS, CMBS, CRE, ABS, or CLOs]
• Strong programming skills in Python are required, but this is not a pure coding role.
• Proficiency with Trepp, Intex, CoStar, or RCA.