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ABS Desk Quant - PR/605583_1786546087

ABS Desk Quant

New York
Permanent
$400,000 - $500,000 USD a year
Quantitative Analytics Research and Trading
PR/605583_1786546087
ABS Desk Quant
A leading hedge fund specializing in asset-backed securities and structured credit is seeking an SVP, Lead Desk Quant for a highly impactful front-office role at the heart of their investment process. This opportunity involves becoming a primary quantitative partner to traders and portfolio managers by helping drive investment decisions, uncover trading opportunities, and shape the fund's portfolio across the structured credit space. They are looking for a candidate who will leverage advanced modeling and analytics across the US ABS, EUROPEAN ABS, and RMBS markets. This role provides significant visibility to the organization, investment influence, and trading strategies.
Key responsibilities:
  • Develop and maintain quantitative models for ABS, RMBS, Consumer loans, and other structured credit assets.
  • Build and enhance prepayment, default, delinquency, severity, and loss forecasting models across mortgage and consumer credit sectors.
  • Collaborate directly with investment teams to evaluate relative value opportunities, formulate investment theses, and support portfolio construction.
  • Design risk analytics and valuation frameworks used in trading, portfolio management, and strategic decision-making.
  • Work alongside portfolio managers and traders on new product development, investment strategies, and tailored credit opportunities.
Job requirements:
  • 3-5 years of experience in asset backed securities, RMBS, and consumer loans
  • Extensive experience building statistical models for prepayment, default, loss for mortgage, and ABS assets
  • Prior work done with investment teams to deploy new products and risk models
  • Implement and design model performance monitoring methodology and tools.
  • Strong proficency in python
  • Masters or Ph.D. in a quantitative discipline is highly preferred

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