Director RMBS/ABS Desk Quant
Director RMBS/ABS Desk Quant
A prestigious multi-billion AUM Mortgage Hedge Fund is seeking a Director-Level Desk Quant to join their RMBS/ABS team. This role focuses on non-agency mortgage and consumer loan research, strategy, and modeling, with a particular emphasis on residential mortgages (RMBS) and consumer assets such as unsecured personal loans, auto loans, solar loans, and home improvement loans. The ideal candidate will have a strong background in forecasting loan performance and developing investment strategies to create value for clients across these sectors.
Key Responsibilities:
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Develop Investment Strategies: Focus on non-agency mortgages (e.g., CRT, RPL/NPL, Non-QM, Jumbo Loans) and consumer assets (e.g., auto loans, personal loans, solar loans), devising strategies to optimize returns.
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Quantitative Modeling: Build and refine advanced quantitative models to forecast loan performance and risk, contributing to overall portfolio management.
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Collaboration with Teams: Work closely with traders, quantitative programmers, and investment teams to shape, test, and implement trading and investment strategies.
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Research & Modeling: Conduct in-depth research and modeling on prepayment and default behaviors for both RMBS and ABS markets, providing critical insights for strategy development.
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Risk Management Partnership: Partner with risk managers and controllers to ensure effective execution and monitoring of investment strategies.
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New Product Development: Contribute to the development of new financial products and enhancements to existing models, with a focus on both mortgage and consumer loan sectors.
Key Requirements:
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Experience: 10+ years of experience in RMBS/ABS research, strategy, and modeling, with deep expertise in non-agency mortgages and consumer loans.
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Technical Skills: Strong quantitative modeling and technical skills, including proficiency in programming languages such as Python and SQL. Experience in deploying models in production environments is highly desired.
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Prepayment & Default Modeling: Extensive experience in prepayment and default modeling, particularly in the context of RMBS and ABS.
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Market Expertise: Expertise in the residential mortgage (RMBS) space, as well as knowledge of non-performing loans (NPL), re-performing loans (RPL), Non-QM, and consumer loan markets (e.g., auto, personal, solar loans).
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Education: At least a Master’s degree in a related field (Physics, Mathematics, Computer Science, Engineering, etc.).
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Business Acumen: Strong commercial awareness and the ability to complement your technical expertise with a solid understanding of business and financial markets.
This is an outstanding opportunity for a senior quant professional to join a leading mortgage hedge fund, developing cutting-edge strategies and working alongside a highly skilled team. If you have the expertise and experience in the mortgage and consumer loan sectors, and are looking for a dynamic, impactful role, apply now to be part of a fast-paced, growth-oriented firm.
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