Quantitative Trading and Research - Securitized Products Group - Vice President
On-site · New York City, New York, United States
New York City, New York, United StatesOn-siteFull TimeSenior LevelDoctorate Or Professional DegreeInvestment BankingEnterprise
Type
Full Time
Level
Senior Level
Education
Doctorate Or Professional Degree
Company size
Enterprise
Industry
Investment Banking
Job Summary
Vice President in the Quantitative Research SPG leads development, documentation, and enhancement of advanced quantitative models for RMBS/structured products; collaborates with risk/model review to ensure proper model usage and governance; builds scalable data-analysis platforms and a model library; provides guidance and training to users and clients; focuses on valuation, risk assessment, P&L calculations, and market-making algorithms using sophisticated mathematical approaches.
Required Qualifications
- 3+ years of VP-level experience
- PhD in advanced mathematics
- Proficiency in Python and C++ for developing analytical tools and models
- Linux shell environment and scripting for automation and data processing
- Extensive experience with mortgage and loan performance data, including prepayment and credit historical data at loan/facility level
- Expertise in econometric modeling for financial performance and risk
- Proficiency in Monte Carlo simulations for risk analysis and forecasting
- Experience with logistic regression for binary outcomes
- Knowledge of factor models (PCA) and hazard rate models
- Proficiency with NumPy, Pandas, and StatsModels for data manipulation and analysis
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