Summary:
A Tier 1 US investment bank is seeking an experienced quantitative analysts and prepayment modelers. Our client, based in New York City, seeking an associate or vice president with expertise in non-agency RMBS, residential credit modeling from scratch using c++, python, and machine learning (3+ years of experience).
Qualifications:
- Master's degree or higher in mathematics/statistics/finance/etc.
- 3+ years of experience working on agency/non-agency RMBS securities and developing prepayment models from scratch
- Strong programming skills - C++ & Python
Skills:
Prepayment modeling from Scratch including :
* Residential mortgage-backed security (RMBS)
* Non-Agency Mortgage Backed Security
* Expertise utilizing statistical models such as Monte Carlo simulations , linear regression.
Machine Learning
* Experience implementing Machine Learning techniques into their work
