Senior MBS Quant Analyst
Senior MBS Quant Analyst
A global financial services firm with a strong quantitative and technology focus is expanding its Interest Rate & Structured Products analytics team in New York. This role offers the chance to join a highly technical group of quants building production‑grade models for valuation, risk management, and scenario analysis across fixed income and mortgage markets. You will work closely with senior quantitative and engineering colleagues to develop and maintain interest rate term structure and volatility models for US Agency MBS and related products. This is a hands‑on, model‑driven role with ownership across research, implementation, and ongoing enhancement of production analytics, ideal for someone interested in rates modeling, volatility dynamics, and scalable analytical systems.
Responsibilities
- Develop and maintain term structure and volatility models for valuation, OAS analysis and risk management for interest rates
- Develop models for home price and rates models
- Own and manage interest rate calibration for specific client questions and parameter choices
- Work closely with adjacent teams to support prepayment and default models
- Support scenario‑based analytics, including rate, curve, and volatility shocks, per‑path simulations, and attribution analysis
- Build analytical tools, libraries, and pipelines for cash‑flow forecasting, valuation metrics, and risk analytics
- Support ongoing research and publications
Requirements
- 4+ years of experience in quantitative modeling environment
- Strong expertise in interest rate term structure modeling
- Proficiency in Python
- Experience working with large datasets, regression analysis, and statistical modeling
- Strong academic background in Mathematics, Statistics, Economics, Financial Engineering, or a related field
- Clear communication skills
Preferred Qualifications
- MS or PhD in a quantitative field
- Background in US Agency MBS, mortgage modeling or prepayment analytics
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